Autors: Kostadinova, K.Y., Lazarova, M. D.
Title: Risk models of order k
Keywords: Poisson process, Polya-Aeppli process, ruin probability, risk model

Abstract: In this paper we consider two compound processes of order k, one that is a Poisson process of order k and another one, Pólya-Aeppli process of order k. We define a Poisson of order k risk model and we consider a Pólya-Aeppli of order k risk model. For these risk models we define an exponential martingales. The corresponding martingale approximations of the ruin probability for these processes are given. Finally, we compare these models in the case of exponentially distributed claims.

References

    Issue

    Annals of the Academy of Romanian Scientists: Series on Mathematics and its Applications Open Access, vol. 11, issue 2, pp. 259-273, 2019, Romania, Academy of Romanian Scientists Publishing House, ISSN 2066-6594

    Copyright Academy of Romanian Scientists Publishing House

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