A compound Poisson risk model with variable premium rate

Title
A compound Poisson risk model with variable premium rate
Author(s)
이지연송미정김종우[김종우]
Keywords
Compound Poisson model; Gerber-Shiu discounted penalty function; variable premium rate
Issue Date
201211
Publisher
한국데이터정보과학회
Citation
한국데이터정보과학회지, v.23, no.6, pp.1289 - 1297
Abstract
We consider a general compound Poisson risk model in which the premium rate is surplus dependent. We analyze the joint distribution of the surplus immediately before ruin, the deficit at ruin and the time of ruin by solving the integro-differential equation for the Gerber-Shiu discounted penalty function.
URI
http://hdl.handle.net/YU.REPOSITORY/26896http://dx.doi.org/10.7465/jkdi.2012.23.6.1289
ISSN
1598-9402
Appears in Collections:
이과대학 > 통계학과 > Articles
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