Polya-Aeppli Risk Model Ruin Probability Cramer-Lundberg Approximation
Issue Date:
2004
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 16, No 1, (2004), 129p-135p
Abstract:
We consider the risk model in which the claim counting process {N(t)} is a modified stationary renewal process. {N(t)} is governed by a sequence of independent and identically distributed inter-occurrence times with a common exponential distribution function with mass at zero equal to ρ>0. The model is called a Polya-Aeppli risk model. The Cramer-Lundberg
approximation and the martingale approach of the model are given.
