the pólya-aeppli process and ruin problemspolya-aeppli过程和破坏的问题.pdfVIP

THE PÓLYA-AEPPLI PROCESS AND RUIN PROBLEMS LEDA D. MINKOVA Received 16 September 2003 and in revised form 21 May 2004 ´ The Polya-Aeppli process as a generalization of the homogeneous Poisson process is de- ´ fined. We consider the risk model in which the counting process is the Polya-Aeppli pro- ´ cess. 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 Polya-Aeppli risk model and the corresponding classical risk model is given. 1. Introduction The standard model of an insurance company, called risk process {X (t), t ≥ 0}, defined on the complete probability space (Ω, ,P ), is given by N (t) 0 X (t) = ct − Z , = 0 . (1.1) k k =1 1 Here c is a positive real constant representing the gross risk premium rate. The sequence {Z }∞ of mutually independent and identically distributed random variables (r.v.’s) k k =1 with common distribution function F , F (0) = 0, and mean value µ is independent of the counting process N (t), t ≥ 0. The process N (t) is interpreted as the number of claims on the company during the interval [0, t]. In the classical risk model, the process N (t) is a stationary Poisson counting process; see for instance Grandell [4]. In this case, the