  In this work the ruin probability of the Lundberg risk process is used as a
criterion for determining the optimal security loading of premia in the
presence of price-sensitive demand for insurance. Both single and aggregated
claim processes are considered and the independent and the dependent cases are
analyzed. For the single-risk case, we show that the optimal loading does not
depend on the initial reserve. In the multiple risk case we account for
arbitrary dependency structures between different risks and for dependencies
between the probabilities of a client acquiring policies for different risks.
In this case, the optimal loadings depend on the initial reserve. In all cases
the loadings minimizing the ruin probability do not coincide with the loadings
maximizing the expected profit.
