• 대한수학회논문집
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• 제12권3호
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• pp.725-741
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• 1997

This paper considers the problem of deriving exponential probability inequalities for product symmetric Poisson processes. As an application they are used to show the existence of regular version of some product process derived from L$\acute{e}$vy process.

• Journal of the Korean Statistical Society
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• 제26권1호
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• pp.147-154
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• 1997

An infinite dam with a compound Poisson input having exponential jumps is considered. As an output policy, we adopt the $P_{\lambda}$$^{M}$ Policy. After assigning costs to the dam we obtain the long-rum average cost per unit time of operating the dam and find the optimal values of .lambda. and M which minimize the long-run average cost.t.

• Journal of the Korean Statistical Society
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• 제36권2호
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• pp.229-235
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• 2007

We consider a ruin model whose surplus process is formed by a compound Poisson process. If the level of surplus reaches V > 0, it is assumed that a certain amount of surplus is invested. In this paper, we apply the optional sampling theorem to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either 0 or V. We also derive the total and average amount of surplus during T by establishing a backward differential equation.

• Communications for Statistical Applications and Methods
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• 제20권5호
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• pp.377-385
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• 2013

We consider a compound Poisson risk model in which the premium rate changes when the surplus exceeds a threshold. The explicit form of the ruin probability for the risk model is obtained by deriving and using the overflow probability of the workload process in the corresponding M/G/1 queueing model.

• 응용통계연구
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• 제21권5호
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• pp.755-763
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• 2008

This paper approaches the problem of option pricing in an incomplete market, where the underlying asset price process follows a compound Poisson model. We assume that the price process follows a compound Poisson model under an equivalent martingale measure and it converges weakly to the Black-Scholes model. First, we express the option price as the expectation of the discounted payoff and expand it at the Black-Scholes price to obtain a pricing formula with three unknown parameters. Then we estimate those parameters using the market option data. This method can use the option data on the same stock with different expiration dates and different strike prices.

• Journal of the Korean Statistical Society
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• 제15권2호
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• pp.87-96
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• 1986

Sequential estimation of parameters in a compound Poisson process whose jump sizes are one-parameter exponential class random variables is discussed. Cramer-Rao type information inequality is used as an efficiency cirterion. Unbiased estimators for certain parametric functions whose variance attain the lower bound are all characterized with the corresponding sampling plans.

• 한국경영과학회지
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• 제24권3호
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• pp.109-123
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• 1999

Fleet sizing and empty equipment redistribution are two of the most critical problems in managing a fleet of equipment over a transportation network. Where the demand pattern followed the compound Poisson process(CPP) which can be generated one or more at a time under homogeneous Poisson process(HPP), this paper presented a mathematical model to determine control parameters of a decentralized distribution policy and fleet size in case of the pure hub-and-spoke system, a popular form of a logistics system. and validated this model by simulation. That is, where the number of demanded equipments followed geometric and binomial distributions, respectively, cost models on the pure hub-and-spoke logistics system with deterministic trans-portation times, which could be solved analytically, were established and analyzed. We also compared the deterministic case with stochastic one that the transportation time follows some probability distributions.

• 한국경영과학회지
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• 제23권3호
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• pp.153-168
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• 1998

In this study we consider a CONWIP system in which the processing times at each station follow an exponential distribution and the demands for the finished Products arrive according to a compound Poisson process. The demands that are not satisfied instantaneously are assumed to be backordered. For this system we develop an approximation method to obtain the performance measures such as steady state probabilities of the number of parts at each station, the proportion of backordered demands, the average number of backordered demands and the mean waiting time of a backordered demand. For the analysis of the proposed CONWIP system, we model the CONWIP system as a closed queueing network with a synchronization station and analyze the closed queueing network using a product form approximation method. A matrix geometric method is used to solve the subnetwork in the application of the product-form approximation method. To test the accuracy of the approximation method, the results obtained from the approximation method were compared with those obtained by simulation. Comparisons with simulation have shown that the approximate method provides fairly good results.

• Communications for Statistical Applications and Methods
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• 제18권4호
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• pp.433-443
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• 2011

잉여금의 수준에 따라 이단계의 보험요율이 적용되는 복합 포아송 위험 모형을 고려한다. 먼저 이 위험 모형에 대응되는 이단계 서비스율의 M/G/1 대기행렬 모형을 설정하고, M/G/1 대기행렬 모형에서 작업량이 0에 도달하기 전에 과부하가 발생하는 확률을 유도한다. 이과부하 확률을 이용하여 위험모형에서 잉여금이 목표값에 도달하기 전에 파산하는 확률을 구하고, 보험 청구액이 지수분포를 따르는 경우의 파산 확률을 계산한다.

• Journal of the Korean Statistical Society
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• 제36권2호
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• pp.237-256
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• 2007

This paper studies the problem of option pricing in an incomplete market. The market incompleteness comes from the discontinuity of the underlying asset price process which is, in particular, assumed to be a compound Poisson process. To find a reasonable price for a European contingent claim, we first find the unique minimal martingale measure and get a price by taking an expectation of the payoff under this measure. To get a closed-form price, we use an asymptotic expansion. In case where the minimal martingale measure is a signed measure, we use a sequence of martingale measures (probability measures) that converges to the equivalent martingale measure in the limit to compute the price. Again, we get a closed form of asymptotic option price. It is the Black-Scholes price and a correction term, when the distribution of the return process has nonzero skewness up to the first order.