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http://dx.doi.org/10.5351/CKSS.2011.18.4.433

Ruin Probability in a Compound Poisson Risk Model with a Two-Step Premium Rule  

Song, Mi-Jung (Department of Statistics, Yeungnam University)
Lee, Ji-Yeon (Department of Statistics, Yeungnam University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.4, 2011 , pp. 433-443 More about this Journal
Abstract
We consider a compound Poisson risk model in which the premiums may depend on the state of the surplus process. By using the overflow probability of the workload process in the corresponding M/G/1 queueing model, we obtain the probability that the ruin occurs before the surplus reaches a given large value in the risk model. We also examplify the ruin probability in case of exponential claims.
Keywords
Ruin probability; compound Poisson risk model; two-step premium rule; M/G/1 queueing model; overflow probability;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
연도 인용수 순위
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