In this paper we analyze a measure of the insurance company’s value in an extended Lundberg model which includes the effect of competition on pricing. The extended model is designed to be an integral part of a multi-year controlled risk model of a company operating on both competitive...

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...