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Compound Mixed Poisson Distributions II |
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| Authors: | Saralees Nadarajah Samuel Kotz |
| Affiliation: | 1. Department of Statistics , University of Nebraska , Lincoln, NE, 68583Saralees.Nadarajah@manchester.ac.uk;3. Department of Engineering Management and Systems Engineering , The George Washington University , Washington, D.C, 20052 |
| Abstract: | Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process: a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied. |
| Keywords: | finite-time ruin probability reinsurance cycles Erlangization dependence in risk theory phase-type distributions |