On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate
ZHANG Aili; LIU Zhang
School of Statistics and Mathematics, Nanjing Audit University, Nanjing, 211815, China; School of Computer and Information Engineering,
Jiangxi Agricultural University, Nanchang, 330045, China
In this paper, we consider the classical compound Poisson risk model with two-step premium rate. Using an alternative approach, we find the explicit expressions for the Laplace transforms of joint occupation times over disjoint intervals for this model. The Laplace transforms are expressed in terms of scale functions of L\'{e}vy processes.
The project was supported by the Science and Technology Planning Project of Jiangxi Province (Grant No. GJJ180201).
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ZHANG Aili; LIU Zhang. On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2020, 36(3): 261-276.