Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes
The paper presents a variety of mathematical features from the generalized Cramér-Lundberg model that was previously proposed, extending Dubey's Bayesian-estimator model to the context of multiple insurance policies. The instantaneous premium function and the conditional ruin probability are both examined in detail.\N\NAfter presenting introductory notations and concepts, with examples included, detailed discussions and proofs are given on both properties of the instantaneous premium rate function and those related to conditional ruin probability.
scientific article; zbMATH DE number 7922752