On the Time Spent in the Red by a Refracted Lévy Risk Process
On the Time Spent in the Red by a Refracted Lévy Risk Process
In this paper we introduce an insurance ruin model with an adaptive premium rate, henceforth referred to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished. In this model the premium rate is increased as soon as the wealth process falls into the red zone and is brought back …