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
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.
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