A surplus process has a compound Poisson claims process with

A surplus process has a compound Poisson claims process with 1 claim expected per period and p(1) =

Solution

Given that p(1) = 1/2 and p(2) = 1/2.

Theta = 0.25

E(I3) = 0.20144

Premium = 0.25

AS P(1) = P(2) we get lemda/e = 1

lemda = e = 2.718

Hence adjustment coeff = 0.24877