In this paper, we consider the ruin measures for two classes of risk processes. We assume that the claim number processes are independent
Poisson and generalized Erlang(n) processes, respectively. Historically,
it has been assumed that the premium size is a constant. In this contribution, the premium income arrival process is a Poisson process. In
this framework, both the integro-differential equation and the Laplace
transform for the expected discounted penalty function are established.
Explicit expressions for the expected discounted penalty function are
derived when the claim amount distributions belong to the rational
family. Finally, numerical examples are considered.
Two classes of risk processes Expected discounted penalty function Integro-differential equation Laplace transform Stochastic income
Birincil Dil | İngilizce |
---|---|
Konular | İstatistik |
Bölüm | İstatistik |
Yazarlar | |
Yayımlanma Tarihi | 1 Ağustos 2015 |
Yayımlandığı Sayı | Yıl 2015 Cilt: 44 Sayı: 4 |