Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force

Abstract

Abstract In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic formula for the finite-time ruin probability when the claim size is heavy-tailed. We show that the model in our paper has similar results to the classical risk process and some existing generalized models.

Keywords

• perturbed risk model
• constant interest force
• ruin probability
• upper bound
• asymptotic formula