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The perturbed compound Poisson risk model with two-sided jumps [PDF]
Journal of Computational and Applied Mathematics, 2010 In this rather technical paper, the authors study a classical compound Poisson risk model perturbed by a Brownian motion with two-sided jumps. The upward jumps can be interpreted as the random gains of an insurance company, the downward jumps being the random losses. Defective renewal equations, discounted penalty functions (at ruin caused by a jump or
Zhimin Zhang 0009 +2 more
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Randomized observation periods for the compound Poisson risk model: the discounted penalty function [PDF]
Scandinavian Actuarial Journal, 2013 In the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived.
Cheung, ECK, Thonhauser, S, Albrecher, H
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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model
Mathematics, 2020 In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the ...
Wenguang Yu +8 more
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A compound Poisson risk model with variable premium rate
Journal of the Korean Data and Information Science Society, 2012 We consider a general compound Poisson risk model in which the premium rate is surplus dependent. We analyze the joint distribution of the surplus immediately before ruin, the deffcit at ruin and the time of ruin by solving the integro-differential equation for the Gerber-Shiu discounted penalty function.
Mi Jung Song, Jongwoo Kim, Jiyeon Lee
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Optimal Dividend Problem for a Compound Poisson Risk Model
Applied Mathematics, 2014 In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Polya-Aeppli risk model as special cases.
Ying Shen, Chuancun Yin
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A Compound Poisson Risk Model with a Two-Step Premium Rule [PDF]
Communications for Statistical Applications and Methods, 2013 We consider a compound Poisson risk model in which the premium rate changes when the surplus exceeds a threshold. The explicit form of the ruin probability for the risk model is obtained by deriving and using the overflow probability of the workload process in the corresponding M=G=1 queueing model.
Mi Jung Song, Jiyeon Lee
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A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model
Mathematics, 2019 In this paper, we propose a new generalized Gerber−Shiu discounted penalty function for a compound Poisson risk model, which can be used to study the moments of the ruin time.
Jiechang Ruan +5 more
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Mathematics, 2019 In this paper, we consider an insurance risk model with mixed premium income, in which both constant premium income and stochastic premium income are considered.
Yunyun Wang +4 more
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Comparison of Ruin Probabilities in Compound Poisson Risk Model
Open Journal of Statistics, 2019 Compound Poisson risk model has been simulated. It has started with exponential claim sizes. The simulations have checked for infinite ruin probabilities. An appropriate time window has been chosen to estimate and compare ruin probabilities. The infinite ruin probabilities of two-compound Poisson risk process have estimated and compared them with ...
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Dividend Payments with a Hybrid Strategy in the Compound Poisson Risk Model
Applied Mathematics, 2014 In this paper, a hybrid dividend strategy in the compound Poisson risk model is considered. In the absence of dividends, the surplus of an insurance company is modelled by a compound Poisson process. Dividends are paid at a constant rate whenever the modified surplus is in a interval; the premium income no longer goes into the surplus but is paid ...
Peng Li, Chuancun Yin, Ming Zhou
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