Next Article in Journal
Improving the Computational Efficiency of a Variant of Steffensen’s Method for Nonlinear Equations
Next Article in Special Issue
On the Rate of Convergence for a Characteristic of Multidimensional Birth-Death Process
Previous Article in Journal
Role of Media and Effects of Infodemics and Escapes in the Spatial Spread of Epidemics: A Stochastic Multi-Region Model with Optimal Control Approach
Previous Article in Special Issue
Monte Carlo Algorithms for the Parabolic Cauchy Problem
Article

Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income

1
College of Mathematics and Statistics, Chongqing University, Chongqing 401331, China
2
School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China
3
School of Science, Shandong Jiaotong University, Jinan 250357, China
*
Author to whom correspondence should be addressed.
Mathematics 2019, 7(3), 305; https://doi.org/10.3390/math7030305
Received: 24 February 2019 / Revised: 15 March 2019 / Accepted: 18 March 2019 / Published: 26 March 2019
(This article belongs to the Special Issue Stochastic Processes: Theory and Applications)
In this paper, we consider an insurance risk model with mixed premium income, in which both constant premium income and stochastic premium income are considered. We assume that the stochastic premium income process follows a compound Poisson process and the premium sizes are exponentially distributed. A new method for estimating the expected discounted penalty function by Fourier-cosine series expansion is proposed. We show that the estimation is easily computed, and it has a fast convergence rate. Some numerical examples are also provided to show the good properties of the estimation when the sample size is finite. View Full-Text
Keywords: compound poisson insurance risk model; expected discounted penalty function; estimation; Fourier transform; Fourier-cosine series compound poisson insurance risk model; expected discounted penalty function; estimation; Fourier transform; Fourier-cosine series
Show Figures

Figure 1

MDPI and ACS Style

Wang, Y.; Yu, W.; Huang, Y.; Yu, X.; Fan, H. Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income. Mathematics 2019, 7, 305. https://doi.org/10.3390/math7030305

AMA Style

Wang Y, Yu W, Huang Y, Yu X, Fan H. Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income. Mathematics. 2019; 7(3):305. https://doi.org/10.3390/math7030305

Chicago/Turabian Style

Wang, Yunyun, Wenguang Yu, Yujuan Huang, Xinliang Yu, and Hongli Fan. 2019. "Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income" Mathematics 7, no. 3: 305. https://doi.org/10.3390/math7030305

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop