Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2668

 Title: Compound Compound Poisson Risk Model Authors: Minkova, Leda D. Keywords: Compound Poisson ProcessPólya-aeppli Risk ModelRuin ProbabilityCramér-lundberg Approximation Issue Date: 2009 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Serdica Mathematical Journal, Vol. 35, No 3, (2009), 301p-310p Abstract: 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. Description: 2000 Mathematics Subject Classification: 60K10, 62P05. URI: http://hdl.handle.net/10525/2668 ISSN: 1310-6600 Appears in Collections: Volume 35, Number 3

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