The Pólya-Aeppli process and ruin problems

By Leda D. Minkova. 2004

50 citations recorded by the source corpus.

The Polya-Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Polya-Aeppli process. It is called a Polya-Aeppli risk model. The problem of finding the ruin probability and the Cramer-Lundberg approximation is studied. The Cramer condition and the Lundberg exponent are defined. Finally, the comparison between the Pelya-Aeppli risk model and the corresponding classical risk model is given.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c4321abd99a1d872e5555ad616f477b05a742bc0

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In Finance

1. Sandro Vaienti
2. N. Haydn

In Management Science and Operations Research

1. Sandro Vaienti
2. N. Haydn

In Statistics and Probability

1. Sandro Vaienti
2. N. Haydn

Citations in the corpus

• The compound Poisson distribution and return times in dynamical systems (2008, methodology): “It has also been used to model the survival of capitalist enterprises in the free market system [21].”