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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. = =

A First Course in Probability (10th Edition)
A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
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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. = =
Transcribed Image Text: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. = =
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