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http://dx.doi.org/10.7465/jkdi.2012.23.6.1289

A compound Poisson risk model with variable premium rate  

Song, Mi Jung (Department of Statistics, Yeungnam University)
Kim, Jongwoo (College of General Education, Konyang University)
Lee, Jiyeon (Department of Statistics, Yeungnam University)
Publication Information
Journal of the Korean Data and Information Science Society / v.23, no.6, 2012 , pp. 1289-1297 More about this Journal
Abstract
We consider a general compound Poisson risk model in which the premium rate is surplus dependent. We analyze the joint distribution of the surplus immediately before ruin, the deffcit at ruin and the time of ruin by solving the integro-differential equation for the Gerber-Shiu discounted penalty function.
Keywords
Compound Poisson model; Gerber-Shiu discounted penalty function; variable premium rate;
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Times Cited By KSCI : 3  (Citation Analysis)
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