Article ID: | iaor20051940 |
Country: | United States |
Volume: | 17 |
Issue: | 3 |
Start Page Number: | 221 |
End Page Number: | 234 |
Publication Date: | Sep 2004 |
Journal: | Journal of Applied Mathematics and Stochastic Analysis |
Authors: | Minkova Leda D. |
Keywords: | risk, stochastic processes |
The Polya–Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Polya–Aeppli process. It is called a Polya–Aeppli risk model. The problem of finding the ruin probability and the Cramer–Lundberg approximation is studied. The Cramer condition and the Lundburg exponent are defined. Finally, the comparison between the Polya–Aeppli risk model and the corresponding classical risk model is given.