{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,25]],"date-time":"2025-09-25T18:14:23Z","timestamp":1758824063965},"reference-count":20,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2013,8,9]],"date-time":"2013-08-09T00:00:00Z","timestamp":1376006400000},"content-version":"unspecified","delay-in-days":1561,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ASTIN Bull."],"published-print":{"date-parts":[[2009,5]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming a translated gamma distribution approximation for aggregate claim amounts.<\/jats:p><jats:p>We illustrate our method by studying the case where the premium at the start of each year is a function of the surplus level at that time or at an earlier time.<\/jats:p>","DOI":"10.2143\/ast.39.1.2038059","type":"journal-article","created":{"date-parts":[[2009,6,25]],"date-time":"2009-06-25T14:27:59Z","timestamp":1245940079000},"page":"117-136","source":"Crossref","is-referenced-by-count":8,"title":["Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums"],"prefix":"10.1017","volume":"39","author":[{"given":"Lourdes B.","family":"Afonso","sequence":"first","affiliation":[]},{"given":"Alfredo D. Eg\u00eddio","family":"dos Reis","sequence":"additional","affiliation":[]},{"given":"Howard R.","family":"Waters","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2013,8,9]]},"reference":[{"key":"S0515036100000064_ref005","volume-title":"Practical Risk Theory for Actuaries","author":"Daykin","year":"1996"},{"key":"S0515036100000064_ref018","volume-title":"Survival probabilities, the goal of risk theory","author":"Seal","year":"1978"},{"key":"S0515036100000064_ref015","doi-asserted-by":"publisher","DOI":"10.2143\/AST.26.1.563235"},{"key":"S0515036100000064_ref016","first-page":"147","volume-title":"Scandinavian Actuarial Journal","volume":"1989","author":"Petersen","year":"1989"},{"key":"S0515036100000064_ref008","doi-asserted-by":"publisher","DOI":"10.2143\/AST.36.2.2017928"},{"key":"S0515036100000064_ref003","first-page":"197","article-title":"Calculation of finite time ruin probabilities for some risk models","volume":"37","author":"Cardoso","year":"2005","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0515036100000064_ref004","first-page":"70","volume-title":"Skandinavisk Aktuarietidskrift","volume":"1969","author":"Davidson","year":"1969"},{"key":"S0515036100000064_ref012","first-page":"291","article-title":"Probability of ruin with variable premium rate in a Markovian environment","volume":"29","author":"Jasiulewicz","year":"2001","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0515036100000064_ref007","doi-asserted-by":"publisher","DOI":"10.2143\/AST.23.2.2005094"},{"key":"S0515036100000064_ref010","doi-asserted-by":"publisher","DOI":"10.2143\/AST.19.1.2014916"},{"key":"S0515036100000064_ref002","first-page":"173","volume-title":"Skandinavisk Aktuarietidskrift","volume":"1963","author":"Bohman","year":"1963"},{"key":"S0515036100000064_ref009","first-page":"75","volume-title":"Scandinavian Actuarial Journal","volume":"1991","author":"Dickson","year":"1991"},{"key":"S0515036100000064_ref006","doi-asserted-by":"publisher","DOI":"10.1080\/03461238.1978.10419484"},{"key":"S0515036100000064_ref014","first-page":"656","article-title":"Risk theory insight into a zone-adaptive control strategy","volume":"42","author":"Malinovskii","year":"2008","journal-title":"Insurance: Mathematics and Economics"},{"key":"S0515036100000064_ref013","volume-title":"Loss models: From data to decisions","author":"Klugman","year":"2004"},{"key":"S0515036100000064_ref020","doi-asserted-by":"publisher","DOI":"10.1017\/S0515036100010874"},{"key":"S0515036100000064_ref017","doi-asserted-by":"publisher","DOI":"10.1017\/S0515036100006334"},{"key":"S0515036100000064_ref011","volume-title":"An Introduction to Mathematical Risk Theory","author":"Gerber","year":"1979"},{"key":"S0515036100000064_ref019","doi-asserted-by":"publisher","DOI":"10.1080\/03461238.1980.10408641"},{"key":"S0515036100000064_ref001","unstructured":"Afonso L.B. (2008) Evaluation of ruin probabilities for surplus processes with credibility and surplus dependent premiums. PhD thesis, ISEG, Lisbon."}],"container-title":["ASTIN Bulletin"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0515036100000064","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,30]],"date-time":"2019-04-30T18:01:08Z","timestamp":1556647268000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0515036100000064\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,5]]},"references-count":20,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2009,5]]}},"alternative-id":["S0515036100000064"],"URL":"https:\/\/doi.org\/10.2143\/ast.39.1.2038059","relation":{},"ISSN":["0515-0361","1783-1350"],"issn-type":[{"value":"0515-0361","type":"print"},{"value":"1783-1350","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,5]]}}}