Malinovskii, Vsevolod K. - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 301-309

This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is...