A surplus process involving a compound Poisson counting process and applications

DOI10.1080/03610926.2019.1586942OpenAlexW2920849341WikidataQ128294187 ScholiaQ128294187MaRDI QIDQ5077255

Kristina P. Sendova, Yuying Li

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1586942

zbMATH Keywords

ruin theorycompound Poisson processGerber-Shiu functionbatch claim arrivalsHeaviside Expansion Theorem

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Applications of the classical compound Poisson model with claim sizes following a compound distribution

Cites Work

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• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process
• Non-life insurance mathematics. An introduction with the Poisson process
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The Pólya-Aeppli process and ruin problems
• Characterization of the Pólya-Aeppli Process
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the Time Value of Ruin

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