In this paper we analyze a measure of the insurance company’s value in an extended Lundberg model which includes the effect of competition on pricing. The extended model is designed to be an integral part of a multi-year controlled risk model of a company operating on both competitive...

Underwriters’ desire to show a good annual review is known to be a rationale of the aggressive pricing conduct. On the competitive insurance market, it impacts the global insurance processes and can lead to the competition-originated underwriting cycles. Applying Lundberg’s model of the...

This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is...

In Malinovskii (2012), level premium rate and level initial capital were used to construct solvent and equitable strategies in a multi-period game model of risk. Focused there was the level initial capital regarded as a function of the annual premium rate. With the prospective goal to study...