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A Compound Poisson Risk Model with a Two-Step Premium Rule
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 Title & Authors
A Compound Poisson Risk Model with a Two-Step Premium Rule
Song, Mi Jung; Lee, Jiyeon;
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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.
Compound Poisson risk model;ruin probability;two-step premium rule;M/G/1 queue;overflow probability;renewal equation;
 Cited by
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