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Poisson-Gamma mixture processes and applications to premium calculation.
- Source :
-
Communications in Statistics: Theory & Methods . 2022, Vol. 51 Issue 17, p5913-5936. 24p. - Publication Year :
- 2022
-
Abstract
- In the paper, Poisson-Gamma mixture process is first brought forward, which is dynamically expanded from the well-known Poisson-Gamma mixture model. Some properties on Poisson-Gamma mixture process are presented, including the distribution of increment, Markov property, infinitesimal generator, joint density function of jump/waiting times, and the limit distribution of compound Poisson-Gamma mixture process, etc., which provide a thorough grounding in application of Poisson-Gamma mixture process. At last, some premium calculation principles are presented to show the application of Poisson-Gamma mixture process, which include expected value premium, stop-loss premium, mean-variance premium, and exponential premium. [ABSTRACT FROM AUTHOR]
- Subjects :
- *WAITING rooms
*POISSON processes
Subjects
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 51
- Issue :
- 17
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 158387555
- Full Text :
- https://doi.org/10.1080/03610926.2020.1850791