International Journal of Stochastic Analysis

International Journal of Stochastic Analysis / 2004 / Article

Open Access

Volume 2004 |Article ID 790275 | https://doi.org/10.1155/S1048953304309032

Leda D. Minkova, "The Pólya-Aeppli process and ruin problems", International Journal of Stochastic Analysis, vol. 2004, Article ID 790275, 14 pages, 2004. https://doi.org/10.1155/S1048953304309032

The Pólya-Aeppli process and ruin problems

Received16 Sep 2003
Revised21 May 2004

Abstract

The Pólya-Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Pólya-Aeppli process. It is called a Pólya-Aeppli risk model. The problem of finding the ruin probability and the Cramér-Lundberg approximation is studied. The Cramér condition and the Lundberg exponent are defined. Finally, the comparison between the Pélya-Aeppli risk model and the corresponding classical risk model is given.

Copyright © 2004 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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