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In this work the ruin probability of the Lundberg risk process is used as acriterion for determining the optimal security loading of premia in thepresence of price-sensitive demand for insurance. Both single and aggregatedclaim processes are considered and the independent and the dependent cases areanalyzed. For the single-risk case, we show that the optimal loading does notdepend on the initial reserve. In the multiple risk case we account forarbitrary dependency structures between different risks and for dependenciesbetween the probabilities of a client acquiring policies for different risks.In this case, the optimal loadings depend on the initial reserve. In all casesthe loadings minimizing the ruin probability do not coincide with the loadingsmaximizing the expected profit.

Minimizing ruin probability under dependencies for insurance pricing