Calculate the mean and variance of S(t) and of U(t), where (S(r)),>0 and (U(r)),>0 are the aggregate claim process and the surplus process of the described model.
An insurance company has an initial surplus of 100 and premium loading factor of 20%. Assume that claims arrive according to a Poisson process with parameter A = 5 and the size of claims Xi are iid random variables with Xi ,-,, exp( 1-0). The time unit is 1 week. Assume that 1 month is […]