On the ruin probability of a generalized Cramér–Lundberg model driven by mixed Poisson processes

DOI10.1017/jpr.2021.99zbMath1498.91369OpenAlexW4295249995MaRDI QIDQ5868532

Motokazu Ishizaka, Masashi Tomita, Koichiro Takaoka

Publication date: 21 September 2022

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2021.99

zbMATH Keywords

conditional distributionadjustment coefficientrisk theoryBayesian estimatorvarying insurance premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Cites Work

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• On a risk model with dependence between interclaim arrivals and claim sizes
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