Poisson process Archives

Calculate the mean and variance of S(t) and of U(t), where (S(r)),>0 and (U(r)),>0 are the aggregate claim process and the surplus process of the described model.

By EzekielPosted on November 24, 2022Posted in StatisticsTagged assignmenthelp, collegeessays, Lundberg, Poisson process, variance

PROMPT An insurance company has an initial surplus of 100 and premium loading factor of 20%. Assume that claims arrive according to a Poisson process with parameter A = 5 and the size of claims Xi are iid random variables with Xi ,-,, exp( 1-0). The time unit is 1 week. Assume that 1 month […]