Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes
type: Item
instance of: scholarly article
title: Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes
author: Masashi Tomita
author: Koichiro Takaoka
author: Motokazu Ishizaka
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2024-10-08T00:00:00Z
review text: 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.
reviewed by: Emilia Di Lorenzo
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7922752
zbMATH Keywords: mixed Poisson process
zbMATH Keywords: Cramér-Lundberg model
zbMATH Keywords: ruin probability
zbMATH Keywords: varying insurance premium
zbMATH Keywords: conditional distribution
MaRDI profile type: Publication
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DOI: 10.1007/S13160-024-00656-4
description: scientific article; zbMATH DE number 7922752