Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Compound Poisson Risk Model with a Two-Step Premium Rule

  • Song, Mi Jung (Department of Statistics, Yeungnam University) ;
  • Lee, Jiyeon (Department of Statistics, Yeungnam University)
  • Received : 2013.06.11
  • Accepted : 2013.07.30
  • Published : 2013.09.30
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Abstract

We consider a compound Poisson risk model in which the premium rate changes when the surplus exceeds a threshold. The explicit form of the ruin probability for the risk model is obtained by deriving and using the overflow probability of the workload process in the corresponding M/G/1 queueing model.

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References

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