Applications of the classical compound Poisson model with claim sizes following a compound distribution

被引：2

作者：

Gao, Dechen ^{[1
]}

Sendova, Kristina P. ^{[1
]}

机构：

[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON, Canada

来源：

PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2023年 / 37卷 / 02期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Compound Poisson process; Gerber-Shiu function; Polya-Aeppli risk model; Ruin model; SURPLUS; TIME; RUIN; MOMENTS;

D O I：

10.1017/S0269964822000195

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, we discuss a generalization of the classical compound Poisson model with claim sizes following a compound distribution. As applications, we consider models involving zero-truncated geometric, zero-truncated negative-binomial and zero-truncated binomial batch-claim arrivals. We also provide some ruin-related quantities under the resulting risk models. Finally, through numerical examples, we visualize the behavior of these quantities.

引用

页码：357 / 386

页数：30

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