A Modified Model of Risk Business
| Data(s) |
23/02/2014
23/02/2014
2004
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| Resumo |
2000 Mathematics Subject Classification: 60K10, 62P05 We consider the risk model in which the claim counting process {N(t)} is a modified stationary renewal process. {N(t)} is governed by a sequence of independent and identically distributed inter-occurrence times with a common exponential distribution function with mass at zero equal to ρ>0. The model is called a Polya-Aeppli risk model. The Cramer-Lundberg approximation and the martingale approach of the model are given. This paper is partially supported by Bulgarian NFSI grant MM-1103/2001. |
| Identificador |
Pliska Studia Mathematica Bulgarica, Vol. 16, No 1, (2004), 129p-135p 0204-9805 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #Polya-Aeppli Risk Model #Ruin Probability #Cramer-Lundberg Approximation |
| Tipo |
Article |
