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Title: Compound Compound Poisson Risk Model
Authors: Minkova, Leda D.
Keywords: Compound Poisson Process
Pólya-aeppli Risk Model
Ruin Probability
Cramér-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.
ISSN: 1310-6600
Appears in Collections:Volume 35, Number 3

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