Autors: Lazarova, M. D., Minkova, L.D.
Title: Non-central Polya-Aeppli process and ruin probability
Keywords: Polya-Aeppli process, pure birth process, ruin probability

Abstract: In this paper we introduce a stochastic process which is a sum of Pólya-Aeppli process and homogeneous Poisson process and call it a Non-central Pólya-Aeppli process (NPAP). The probability mass function, recursion formulas and some properties are derived. As application we consider a risk model with NPAP counting process. The joint distribution of the time to ruin and deficit at the time of ruin is derived. The differential equation of the ruin probability is given. As example we consider the case of exponentially distributed claims.



    Annals of the Academy of Romanian Scientists : Series on Mathematics and its Applications Open Access, vol. 11, issue 2, pp. 312-321, 2019, Romania, Academy of Romanian Scientists Publishing House, ISSN 2066-6594

    Copyright Academy of Romanian Scientists Publishing House

    Full text of the publication

    Вид: статия в списание, публикация в реферирано издание, индексирана в Scopus