The Pólya-Aeppli process and ruin problems

Leda D. Minkova

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-14

Abstract:

The Pólya-Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Pólya-Aeppli process. It is called a Pólya-Aeppli risk model. The problem of finding the ruin probability and the Cramér-Lundberg approximation is studied. The Cramér condition and the Lundberg exponent are defined. Finally, the comparison between the Pélya-Aeppli risk model and the corresponding classical risk model is given.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:790275

DOI: 10.1155/S1048953304309032

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