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http://dx.doi.org/10.5351/CSAM.2013.20.5.377

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)
Publication Information
Communications for Statistical Applications and Methods / v.20, no.5, 2013 , pp. 377-385 More about this Journal
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.
Keywords
Compound Poisson risk model; ruin probability; two-step premium rule; M/G/1 queue; overflow probability; renewal equation;
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Times Cited By KSCI : 1  (Citation Analysis)
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