RUIN PROBLEMS WITH WORSENING RISKS OR WITH INFINITE MEAN CLAIMS

摘要

In this paper, we obtain asymptotic ruin probabilities in two models where claim amounts become more and more adverse, because of phenomena such as climate change or some kind of sectorial inflation. The method we use also enables us to study a risk model in which claims have infinite mean. In such models, ruin probability can be controlled by a strong increase in the premium income rate, which causes premiums to become unacceptable for customers.