Displaying similar documents to “Compound Compound Poisson Risk Model”

A continuous-time model for claims reserving

T. Rolski, A. Tomanek (2014)

Applicationes Mathematicae

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Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in [0,1] according to a...

Modification of Bikerman model with specific ion sizes

Tzyy-Leng Horng, Ping-Hsuan Tsai, Tai-Chia Lin (2017)

Molecular Based Mathematical Biology

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Classical Poisson-Boltzman and Poisson-Nernst-Planck models can only work when ion concentrations are very dilute, which often mismatches experiments. Researchers have been working on the modification to include finite-size effect of ions, which is non-negelible when ion concentrations are not dilute. One of modified models with steric effect is Bikerman model, which is rather popular nowadays. It is based on the consideration of ion size by putting additional entropy term for solvent...

Compartmental Models of Migratory Dynamics

J. Knisley, T. Schmickl, I. Karsai (2011)

Mathematical Modelling of Natural Phenomena

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Compartmentalization is a general principle in biological systems which is observable on all size scales, ranging from organelles inside of cells, cells in histology, and up to the level of groups, herds, swarms, meta-populations, and populations. Compartmental models are often used to model such phenomena, but such models can be both highly nonlinear and difficult to work with. Fortunately, there are many significant biological systems that are amenable to linear compartmental...

Stationary solutions of the generalized Smoluchowski-Poisson equation

Robert Stańczy (2008)

Banach Center Publications

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The existence of steady states in the microcanonical case for a system describing the interaction of gravitationally attracting particles with a self-similar pressure term is proved. The system generalizes the Smoluchowski-Poisson equation. The presented theory covers the case of the model with diffusion that obeys the Fermi-Dirac statistic.

Pricing of zero-coupon and coupon cat bonds

Krzysztof Burnecki, Grzegorz Kukla (2003)

Applicationes Mathematicae

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We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.

Poisson-Fermi Formulation of Nonlocal Electrostatics in Electrolyte Solutions

Jinn-Liang Liu, Dexuan Xie, Bob Eisenberg (2017)

Molecular Based Mathematical Biology

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We present a nonlocal electrostatic formulation of nonuniform ions and water molecules with interstitial voids that uses a Fermi-like distribution to account for steric and correlation efects in electrolyte solutions. The formulation is based on the volume exclusion of hard spheres leading to a steric potential and Maxwell’s displacement field with Yukawa-type interactions resulting in a nonlocal electric potential. The classical Poisson-Boltzmann model fails to describe steric and correlation...

Quantization of pencils with a gl-type Poisson center and braided geometry

Dimitri Gurevich, Pavel Saponov (2011)

Banach Center Publications

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We consider Poisson pencils, each generated by a linear Poisson-Lie bracket and a quadratic Poisson bracket corresponding to a so-called Reflection Equation Algebra. We show that any bracket from such a Poisson pencil (and consequently, the whole pencil) can be restricted to any generic leaf of the Poisson-Lie bracket. We realize a quantization of these Poisson pencils (restricted or not) in the framework of braided affine geometry. Also, we introduce super-analogs of all these Poisson...