Photo by omarprestwich from unsplash
Abstract The compound Poisson Omega model is considered in the presence of a three-step premium rate. Firstly, the integral equations and the integro-differential equations for the Gerber-Shiu expected discounted penalty… Click to show full abstract
Abstract The compound Poisson Omega model is considered in the presence of a three-step premium rate. Firstly, the integral equations and the integro-differential equations for the Gerber-Shiu expected discounted penalty function are derived. Secondly, the integro-differential equations for the Gerber-Shiu expected discounted penalty function are determined in three different initial conditions. The results are then used to find the bankruptcy probability. Finally, the special cases where the claim size distribution is exponential be discussed in some detail in order to illustrate the effect of the model with three-step premium rate.
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!