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Ruin Probability in Compound Poisson Process with Investment [PDF]
Journal of Applied Mathematics, 2012 We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two
Yong Wu, Xiang Hu
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Optimal control of compound Poisson processes [PDF]
ITM Web of Conferences, 2022 The problem of controlling a compound Poisson process until it leaves an interval is considered. This type of problem is known as a homing problem. To determine the value of the optimal control, we must solve a nonlinear integro-differential equation ...
Lefebvre Mario
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Confidence Intervals for the Mean Function of a Compound Cyclic Poisson Process in the Presence of Power Function Trend [PDF]
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2022 We consider the problem of estimating the mean function of a compound cyclic Poisson process in the presence of power function trend. The objectives of this paper are: (i) to construct confidence interval for the mean function of a compound cyclic ...
Faisal Muhammad +2 more
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Compound Poisson Process with a Poisson Subordinator [PDF]
Journal of Applied Probability, 2015 A compound Poisson process whose randomized time is an independent Poisson process is called a compound Poisson process with Poisson subordinator. We provide its probability distribution, which is expressed in terms of the Bell polynomials, and investigate in detail both the special cases in which the compound Poisson process has exponential jumps and ...
Di Crescenzo, Antonio +2 more
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Properties of Poisson processes directed by compound Poisson-Gamma subordinators [PDF]
Modern Stochastics: Theory and Applications, 2018 Published at https://doi.org/10.15559/18-VMSTA101 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)
Khrystyna Buchak, Lyudmyla Sakhno
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Some Compound Fractional Poisson Processes
Fractal and Fractional, 2022 In this paper, we introduce and study fractional versions of the Bell–Touchard process, the Poisson-logarithmic process and the generalized Pólya–Aeppli process.
Mostafizar Khandakar +1 more
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Journal of Traffic and Transportation Engineering (English ed. Online), 2022 Existing structures may suffer from resistance deterioration due to repeated attacks. The modeling of resistance deterioration is a critical ingredient in the reliability assessment and service life prediction of these degraded structures. In this paper,
Cao Wang
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A Class of CTRWs: Compound Fractional Poisson Processes [PDF]
, 2011 This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L vy process: The compound Poisson process. The semi-Markov extension of the compound Poisson process naturally leads to the compound fractional Poisson process, where the Poisson counting ...
Scalas, Enrico
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Alternative Forms of Compound Fractional Poisson Processes [PDF]
Abstract and Applied Analysis, 2012 We study here different fractional versions of the compound Poisson process. The fractionality is introduced in the counting process representing the number of jumps as well as in the density of the jumps themselves.
Luisa Beghin, Claudio Macci
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On convergence of the accumulated insurance claim processes to the compound Poisson process
Lietuvos Matematikos Rinkinys, 2005 Convergence of the accumulated insurance claim processes is investigated when the number of clients of insurance company depeds on time. Conditions for convergence to the compound Poisson process in the function space D[0,∞) endowed with the Skorohod M1
Rimas Banys
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