Autors: Lazarova, M. D., Krasimira Kostadinova.
Title: Polya-Aeppli risk models
Keywords: risk model, Polya-Aeppli process, Noncentral Polya-Aeppli process, ruin probability

Abstract: In this paper we consider three risk models. As counting processes for these risk models we use the Poisson process, the Pólya-Aeppli process and the Noncentral Pólya-Aeppli process. For the related risk models we define an exponential martingales and the corresponding martingale approximation of the ruin probabilities. In the case of exponentially distributed claims we compare these three models and for specific values of the parameters we make some conclusions for their applications in risk theory.

References

    Issue

    , vol. 2048, issue 20021, pp. 020021-1--020021-9, 2018, United States, ISBN 978-0-7354-1774-8

    Copyright AIP Publishing, American Institute of Physics

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