Compound Compound Poisson Risk Model
| Data(s) |
21/07/2016
21/07/2016
2009
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|---|---|
| Resumo |
2000 Mathematics Subject Classification: 60K10, 62P05. The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli risk model is discussed. This paper is partially supported by Sofia University grant 221/2008. |
| Identificador |
Serdica Mathematical Journal, Vol. 35, No 3, (2009), 301p-310p 1310-6600 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #Compound Poisson Process #Pólya-aeppli Risk Model #Ruin Probability #Cramér-lundberg Approximation |
| Tipo |
Article |
