Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule

- Journal title : Communications for Statistical Applications and Methods
- Volume 18, Issue 4, 2011, pp.433-443
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CKSS.2011.18.4.433

Title & Authors

Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule

Song, Mi-Jung; Lee, Ji-Yeon;

Song, Mi-Jung; Lee, Ji-Yeon;

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

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