A Mathematical Model of Insurer Bankruptcy on a Finite Time Interval
Tóm tắt
A discrete-time model is proposed for an insurance company with a Poisson stream of new insurance policies added to the portfolio and a mixed Poisson stream of insurance claims. Recursive formulas are derived for the first three moments of the risk surplus and a lower bound is obtained for the probability that the surplus remains positive on a given time interval.
Tài liệu tham khảo
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