Risk processes with premium adjusted to solvency targets

Abstract: The traditional point of view of ruin theory is reversed: rather than studying the probability of ruin as a function of the initial reserve under a fixed premium, we adjust the premium so as to obtain a given ruin probability (solvency requirement) for a fixed initial reserve (the financial capacity of the insurer). This is joint work with Veronique Maume-Deschamps and Ragnar Norberg.

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