A stochastic model for the financial market with discontinuous prices.
The Pólya-Aeppli process and ruin problems.
Compound Compound Poisson Risk Model
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...
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