Compound Poisson Process Pólya-aeppli Risk Model Ruin Probability Cramér-lundberg Approximation
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Serdica Mathematical Journal, Vol. 35, No 3, (2009), 301p-310p
The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli risk model is discussed.