A Risk model with varying premiums : Its risk management implications

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<title>Risk model with varying premiums</title>
<subTitle>: Its risk management implications</subTitle>
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<namePart>Li, Shu</namePart>
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<abstract displayLabel="Summary">In this paper, we consider a risk model which allows the insurer to partially reflect the recent claim experience in the determination of the next period¿s premium rate. In a ruin context, similar mechanisms to the one proposed in this paper have been studied by, e.g., Tsai and Parker (2004), Afonso et al. (2009) and Loisel and Trufin (2013). In our proposed risk model, we assume that the effective premium rate is determined based on the surplus increments between successive random review times. When review times are distributed as a combination of exponentials and claim arrivals follow a compound Poisson process, we derive a matrix-form defective renewal equation for the GerberShiu function, and provide an explicit expression for the discounted joint density of the surplus prior to ruin and the deficit at ruin. Numerical examples are later considered to numerically evaluate certain ruin-related quantities. A comparison with their counterparts in a constant premium rate model is also presented</abstract>
<note type="statement of responsibility">Shu Li, David Landriault, Christiane Lemieux</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>12/01/2015 Volumen 60 Número  - enero 2015 </text>
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