XA = 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 = 60 and an exponential with mean µ = 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. = =
XA = 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 = 60 and an exponential with mean µ = 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. = =
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter4: Eigenvalues And Eigenvectors
Section4.6: Applications And The Perron-frobenius Theorem
Problem 25EQ
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