No abstract

No abstract

This paper considers a collective risk model formed linearly from four stochastic processes. The first process involves random sums of random variables, and portrays the insurance claims. The other three processes are Ornstein-Uhlenbeck processes which serve as models for the random deviations in assumptions about investment performance, operating expenses, and lapse expenses. The model presented earlier (Beekman 1975b(Beekman , 1976 is improved by using both calendar and operational times. Ornstein-Uhlenbeck distributions for finite time periods are derived, and tables are furnished. Probabilities of extreme deviations for the multi-risk process are discussed. The examples in (Beekman 1975b(Beekman , 1976 are reconsidered, and made more realistic by an improved treatment of the time variables.

No abstract

No abstract