A Compound Poisson Risk Model with a Two-Step Premium Rule

Title
A Compound Poisson Risk Model with a Two-Step Premium Rule
Author(s)
이지연송미정
Keywords
Compound Poisson risk model; ruin probability; two-step premium rule; M/G/1 queue; overflow probability; renewal equation.
Issue Date
201309
Publisher
한국통계학회
Citation
Communications for Statistical Applications and Methods, v.20, no.5, pp.377 - 385
Abstract
We consider a compound Poisson risk model in which the premium rate changes when the surplus exceeds a threshold. The explicit form of the ruin probability for the risk model is obtained by deriving and using the overflow probability of the workload process in the corresponding M/G/1 queueing model.
URI
http://hdl.handle.net/YU.REPOSITORY/28880
ISSN
2287-7843
Appears in Collections:
이과대학 > 통계학과 > Articles
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