索赔规模遵循复合分布的经典复合泊松模型的应用

IF 0.7 3区工程技术 Q4 ENGINEERING, INDUSTRIAL

Probability in the Engineering and Informational Sciences Pub Date : 2022-07-14 DOI:10.1017/S0269964822000195

Dechen Gao, Kristina P. Sendova

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引用次数: 2

摘要

本文讨论了索赔规模服从复合分布的经典复合泊松模型的推广。作为应用，我们考虑了涉及零截尾几何、零截尾负二项和零截尾二项批索赔到达的模型。我们还提供了一些与废墟相关的风险模型下的数量。最后，通过数值例子，我们可视化了这些量的行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Applications of the classical compound Poisson model with claim sizes following a compound distribution

In this paper, we discuss a generalization of the classical compound Poisson model with claim sizes following a compound distribution. As applications, we consider models involving zero-truncated geometric, zero-truncated negative-binomial and zero-truncated binomial batch-claim arrivals. We also provide some ruin-related quantities under the resulting risk models. Finally, through numerical examples, we visualize the behavior of these quantities.

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来源期刊

Probability in the Engineering and Informational Sciences 数学-工程：工业

CiteScore

2.20

自引率

18.20%

发文量

审稿时长

>12 weeks

期刊介绍： The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.