Author(s)

Andrzej Korzeniowski

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

We propose a novel actuarial risk model which, unlike the classical Crámer-Lundberg model, incorporates a stream of random premiums that offset random claims. A key feature of the model is a discrete time accounting of premiums and claims flow, whereby lending itself to random walk type analysis. We derive various estimates of ruin probability thereby providing an effective method of risk assessment over a future time horizon.

Risk Process, Kolmogorov Maximal Inequality, Stopped Martingale, Probability of Ruin

Korzeniowski, A. (2022) Discrete Time Risk Model Financed by Random Premiums. Journal of Mathematical Finance, 12, 126-137. doi: 10.4236/jmf.2022.121008.