JOURNAL BROWSE
Search
Advanced SearchSearch Tips
Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule
Song, Mi-Jung; Lee, Ji-Yeon;
  PDF(new window)
 Abstract
We consider a compound Poisson risk model in which the premiums may depend on the state of the surplus process. By using the overflow probability of the workload process in the corresponding M/G/1 queueing model, we obtain the probability that the ruin occurs before the surplus reaches a given large value in the risk model. We also examplify the ruin probability in case of exponential claims.
 Keywords
Ruin probability;compound Poisson risk model;two-step premium rule;M/G/1 queueing model;overflow probability;
 Language
Korean
 Cited by
1.
A Compound Poisson Risk Model with a Two-Step Premium Rule,;;

Communications for Statistical Applications and Methods, 2013. vol.20. 5, pp.377-385 crossref(new window)
1.
A Compound Poisson Risk Model with a Two-Step Premium Rule, Communications for Statistical Applications and Methods, 2013, 20, 5, 377  crossref(new windwow)
 References
1.
이용주(2003). 대재해 위험을 고려한 보험자의 파산확률모형, <경영논총>, 21, 103-124.

2.
이혜선, 최승경, 이의용 (2009). 보험 상품 파산 확률 근사 방법의 개선 연구, <응용통계연구>, 22, 937-942. crossref(new window)

3.
이호우(2006). <대기행렬이론: 확률과정론적분석>, 3판, 시그마프레스, 서울

4.
한수희, 이의용 (2006). 브라운 운동을 이용한 보험 상품의 파산 모형 연구, <응용통계연구>, 19, 579-585. crossref(new window)

5.
Asmussen, S. (2003). Applied Probability and Queues, 2nd ed., Springer, New York.

6.
Asmussen, S. and Petersen, S. S. (1988). Ruin probabilities expressed in terms of storage processes, Advances in Applied Probability, 20, 913-916. crossref(new window)

7.
Bae, J., Kim, S. and Lee, E. Y. (2002). A $P_{M}^{\lambda}-policy$ for an M/G/1 queueing system, Applied Mathematical Modeling, 26, 929-939. crossref(new window)

8.
Gerber, H. U. (1990). When does the surplus reach a given target?, Insurance: Mathematics and Economics, 9, 115-119. crossref(new window)

9.
Gerber, H. U. and Shiu, E. S. W. (1998). On the time value of ruin, North American Actuarial Journal, 2, 48-78.

10.
Lee, J. (2007). First exit times for compound Poisson dams with a general release rule, Mathematical Methods for Operations Research, 65, 169-178. crossref(new window)

11.
Lin, X. S. and Pavlova, K. P. (2006). The compound Poisson risk model with a threshold dividend strategy, Insurance: Mathematics and Economics, 38, 57-80. crossref(new window)

12.
Lin, X. S. and Willmot, G. E. (1999). Analysis of a defective renewal equation arising in ruin theory, Insurance: Mathematics and Economics, 25, 63-84. crossref(new window)

13.
Lin, X. S.,Willmot, G. E. and Drekic, S. (2003). The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function, Insurance: Mathematics and Economics, 33, 551-566. crossref(new window)

14.
Oh, S. M., Jeong, M. and Lee, E. Y. (2007). A martingale approach to a ruin model with surplus following a compound Poisson process, Journal of the Korean Statistical Society, 36, 229-235.

15.
Park, H. S. (2010). Computing the ruin probability of Levy insurance risk processes in non-Cramer models, Communications of the Korean Statistical Society, 17, 483-491. crossref(new window)

16.
Song, M. J. and Lee, J. (2010). A compound Poisson risk model with a two-step premium rule (submitted).