Compound Compound Poisson Risk Model

Minkova, Leda D.

Serdica Mathematical Journal (2009)

  • Volume: 35, Issue: 3, page 301-310
  • ISSN: 1310-6600

Abstract

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2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli risk model is discussed.This paper is partially supported by Sofia University grant 221/2008.

How to cite

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Minkova, Leda D.. "Compound Compound Poisson Risk Model." Serdica Mathematical Journal 35.3 (2009): 301-310. <http://eudml.org/doc/281522>.

@article{Minkova2009,
abstract = {2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli risk model is discussed.This paper is partially supported by Sofia University grant 221/2008.},
author = {Minkova, Leda D.},
journal = {Serdica Mathematical Journal},
keywords = {Compound Poisson Process; Pólya-aeppli Risk Model; Ruin Probability; Cramér-lundberg Approximation; compound Poisson process; Pólya-Aeppli risk model; ruin probability; Cramér-Lundberg approximation},
language = {eng},
number = {3},
pages = {301-310},
publisher = {Institute of Mathematics and Informatics Bulgarian Academy of Sciences},
title = {Compound Compound Poisson Risk Model},
url = {http://eudml.org/doc/281522},
volume = {35},
year = {2009},
}

TY - JOUR
AU - Minkova, Leda D.
TI - Compound Compound Poisson Risk Model
JO - Serdica Mathematical Journal
PY - 2009
PB - Institute of Mathematics and Informatics Bulgarian Academy of Sciences
VL - 35
IS - 3
SP - 301
EP - 310
AB - 2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli risk model is discussed.This paper is partially supported by Sofia University grant 221/2008.
LA - eng
KW - Compound Poisson Process; Pólya-aeppli Risk Model; Ruin Probability; Cramér-lundberg Approximation; compound Poisson process; Pólya-Aeppli risk model; ruin probability; Cramér-Lundberg approximation
UR - http://eudml.org/doc/281522
ER -

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