Author(s)

Andrzej Korzeniowski

Department of Mathematics, University of Texas at Arlington, Arlington, TX, USA.

Based on Invariance Principle for Brownian Motion, we obtained a closed-form expression of the ruin probability for the Discrete-Time Risk Model with Random Premiums that was recently introduced by Korzeniowski [1]. We show that in this model, given two strategies that have the same probability of ultimate ruin, the strategy with larger initial capital and smaller loading factor is less risky than the strategy with smaller initial capital and larger loading factor in that it lowers the probability of ruin on the finite time horizon.

Discrete-Time Risk Process, Random Walk with Drift, Invariance Principle, Probability of Ruin

Korzeniowski, A. (2023) Ruin Probability for Risk Model with Random Premiums. Journal of Mathematical Finance, 13, 171-179. doi: 10.4236/jmf.2023.132011.