A Compound Poisson Risk Model with a Two-Step Premium Rule

- Journal title : Communications for Statistical Applications and Methods
- Volume 20, Issue 5, 2013, pp.377-385
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CSAM.2013.20.5.377

Title & Authors

A Compound Poisson Risk Model with a Two-Step Premium Rule

Song, Mi Jung; Lee, Jiyeon;

Song, Mi Jung; Lee, Jiyeon;

Abstract

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.

Keywords

Compound Poisson risk model;ruin probability;two-step premium rule;M/G/1 queue;overflow probability;renewal equation;

Language

English

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