A Compound Poisson Risk Model with a Two-Step Premium Rule
- A Compound Poisson Risk Model with a Two-Step Premium Rule
- 이지연; 송미정
- Compound Poisson risk model; ruin probability; two-step premium rule; M/G/1 queue; overflow probability; renewal equation.
- Issue Date
- Communications for Statistical Applications and Methods, v.20, no.5, pp.377 - 385
- 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.
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