Results 21 to 30 of about 5,829 (199)
Discrete Dynamics in Nature and Society, 2012 We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined.
Yan Li, Guoxin Liu
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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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Second order corrections for the limits of normalized ruin times in the presence of heavy tails
Stochastic Systems, 2014 In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper
Dominik Kortschak, Søren Asmussen
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Comparing Compound Poisson Distributions by Deficiency: Continuous-Time Case
Mathematics, 2022 In the paper, we apply a new approach to the comparison of the distributions of sums of random variables to the case of Poisson random sums. This approach was proposed in our previous work (Bening, Korolev, 2022) and is based on the concept of ...
Vladimir Bening, Victor Korolev
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Compound Conway-Maxwell Poisson Gamma Distribution: Properties and Estimation
Austrian Journal of StatisticsThe distribution of a random sum of random events is called a compound distribution. It involves a counting (discrete) distribution to model the number of occurrences of the random event in a fixed time period and a continuous distribution to model the ...
Jahnavi Merupula, V S Vaidyanathan
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The perturbed compound Poisson risk model with linear dividend barrier
Journal of Computational and Applied Mathematics, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Donghai, Liu, Zaiming
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Error Bounds for Compound Poisson Approximations of the Individual Risk Model [PDF]
ASTIN Bulletin, 1992 AbstractThe approximation of the individual risk model by a compound Poisson model plays an important role in computational risk theory. It is thus desirable to have sharp lower and upper bounds for the error resulting from this approximation if the aggregate claims distribution, related probabilities or stop-loss premiums are calculated.The aim of ...
Nelson De Pril, Jan Dhaene
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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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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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The perturbed compound Poisson risk model with two-sided jumps
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
Zhang, Zhimin, Yang, Hu, Li, Shuanming
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