Bivariate Polya-Aeppli Risk Model

Authors

  • Krasimira Kostadinova*
  • Leda Minkova

DOI:

https://doi.org/10.11145/459

Abstract

In this paper we define a bivariate counting process as a compoundВ Poisson process with bivariate geometric compoundingВ distribution and call it a bivariate Polya-Aeppli process. We investigate some of its basic properties, recursionВ formulas and probability mass function. Then we consider a riskВ model in which the claim counting process is the defined bivariate Polya-Aeppli process. For the defined risk model weВ derive the joint distribution of the time to ruin and the deficit atВ ruin as well as the ruin probability. We discuss in detail theВ particular case of exponentially distributed claims.

Author Biographies

Krasimira Kostadinova*

Leda Minkova

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Published

2015-04-23

Issue

Vol. 2 No. 1 (2015)

Section

Conference Contributions

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