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
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
收藏
页码:357 / 386
页数:30
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