1. Find the exact solution for y(u) for the exponential mixture in process A of Book Problem 4.2 = 2. In a large company, two separate Poisson surplus processes are being monitored. In process A, reserves of UA = 3000 are available, approx- imately 25 claims are expected annually, A = 0.20, and the typical claim XA is a (0.75, 0.25) mixture of an exponential random variable with mean μ = 60 and an exponential with mean = 20. For process B, UB = 1000, AB = 30, B = 0.20 and XB = 50. For both of these processes, find the adjustment coefficient of the process and com- ment on the differences. Using Lundberg's inequality, determine upper bounds on the probabilities of ruin for the two processes. ==

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1. Find the exact solution for y(u) for the exponential mixture in process A of Book
Problem 4.2
Transcribed Image Text:1. Find the exact solution for y(u) for the exponential mixture in process A of Book Problem 4.2
=
2. In a large company, two separate Poisson surplus processes are being
monitored. In process A, reserves of UA = 3000 are available, approx-
imately 25 claims are expected annually, A = 0.20, and the
typical claim XA is a (0.75, 0.25) mixture of an exponential random
variable with mean μ = 60 and an exponential with mean = 20. For
process B, UB = 1000, AB = 30, B = 0.20 and XB = 50. For both of
these processes, find the adjustment coefficient of the process and com-
ment on the differences. Using Lundberg's inequality, determine upper
bounds on the probabilities of ruin for the two processes.
==
Transcribed Image Text:= 2. In a large company, two separate Poisson surplus processes are being monitored. In process A, reserves of UA = 3000 are available, approx- imately 25 claims are expected annually, A = 0.20, and the typical claim XA is a (0.75, 0.25) mixture of an exponential random variable with mean μ = 60 and an exponential with mean = 20. For process B, UB = 1000, AB = 30, B = 0.20 and XB = 50. For both of these processes, find the adjustment coefficient of the process and com- ment on the differences. Using Lundberg's inequality, determine upper bounds on the probabilities of ruin for the two processes. ==
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