Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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A compound Poisson risk model with variable premium rate

  • Song, Mi Jung (Department of Statistics, Yeungnam University) ;
  • Kim, Jongwoo (College of General Education, Konyang University) ;
  • Lee, Jiyeon (Department of Statistics, Yeungnam University)
  • Received : 2012.10.07
  • Accepted : 2012.11.17
  • Published : 2012.11.30
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Abstract

We consider a general compound Poisson risk model in which the premium rate is surplus dependent. We analyze the joint distribution of the surplus immediately before ruin, the deffcit at ruin and the time of ruin by solving the integro-differential equation for the Gerber-Shiu discounted penalty function.

Keywords

References

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  1. Stationary analysis of the surplus process in a risk model with investments vol.25, pp.4, 2014, https://doi.org/10.7465/jkdi.2014.25.4.915
  2. Stationary distribution of the surplus process in a risk model with a continuous type investment vol.23, pp.5, 2016, https://doi.org/10.5351/CSAM.2016.23.5.423
  3. New approximations of the ruin probability in a continuous time surplus process vol.25, pp.1, 2014, https://doi.org/10.7465/jkdi.2014.25.1.1