On a risk model with random incomes and dependence between claim sizes and claim intervals (Q391064): Difference between revisions

The authors consider a risk model with random incomes and dependence between claim size and claim intervals, where the time between two claims occurrences determines the distributions of the next claim size and individual premium size. The main aim of the paper is to analyze the expected discounted penalty function of the risk model with random incomes and dependence between claim size and claim intervals.

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reviewed by

Anatoliy Swishchuk

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zbMATH Keywords

compound Poisson risk model

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expected discounted penalty function

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random income

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defective renewal equation

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heavy-tailed distribution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.indag.2013.01.010

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cites work

A ruin model with dependence between claim sizes and claim intervals

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On a risk model with dependence between interclaim arrivals and claim sizes

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On the time to ruin for Erlang(2) risk processes.

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Ruin estimates for large claims

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On the Time Value of Ruin

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Constant dividend barrier in a risk model with interclaim-dependent claim sizes

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On ruin for the Erlang \((n)\) risk process

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The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

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The Markovian regime-switching risk model with a threshold dividend strategy

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On a risk model with dependence between claim sizes and claim intervals

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Q4230625

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On the expected discounted penalty function for the compound Poisson risk model with delayed claims

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The perturbed compound Poisson risk model with multi-layer dividend strategy

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On a risk model with stochastic premiums income and dependence between income and loss

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Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

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A perturbed risk model with dependence between premium rates and claim sizes

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Identifiers

zbMATH Open document ID

1287.91097

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DOI

10.1016/j.indag.2013.01.010

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:391064

@@ Property / review text @@
+The authors consider a risk model with random incomes and dependence between claim size and claim intervals, where the time between two claims occurrences determines the distributions of the next claim size and individual premium size. The main aim of the paper is to analyze the expected discounted penalty function of the risk model with random incomes and dependence between claim size and claim intervals.
+Normal rank
@@ Property / reviewed by @@
+Anatoliy Swishchuk
@@ Property / reviewed by: Anatoliy Swishchuk / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+K10
@@ Property / Mathematics Subject Classification ID: 60K10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6243995
@@ Property / zbMATH DE Number: 6243995 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+compound Poisson risk model
@@ Property / zbMATH Keywords: compound Poisson risk model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+expected discounted penalty function
@@ Property / zbMATH Keywords: expected discounted penalty function / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+random income
@@ Property / zbMATH Keywords: random income / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+defective renewal equation
@@ Property / zbMATH Keywords: defective renewal equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+heavy-tailed distribution
@@ Property / zbMATH Keywords: heavy-tailed distribution / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.indag.2013.01.010
+Normal rank
@@ Property / OpenAlex ID @@
+W1973732807
@@ Property / OpenAlex ID: W1973732807 / rank @@
+Normal rank
@@ Property / cites work @@
+A ruin model with dependence between claim sizes and claim intervals
+Normal rank
@@ Property / cites work @@
+On a risk model with dependence between interclaim arrivals and claim sizes
+Normal rank
@@ Property / cites work @@
+On the time to ruin for Erlang(2) risk processes.
@@ Property / cites work: On the time to ruin for Erlang(2) risk processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin estimates for large claims
@@ Property / cites work: Ruin estimates for large claims / rank @@
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+Constant dividend barrier in a risk model with interclaim-dependent claim sizes
+Normal rank
@@ Property / cites work @@
+On ruin for the Erlang \((n)\) risk process
@@ Property / cites work: On ruin for the Erlang \((n)\) risk process / rank @@
+Normal rank
@@ Property / cites work @@
+The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
+Normal rank
@@ Property / cites work @@
+The Markovian regime-switching risk model with a threshold dividend strategy
+Normal rank
@@ Property / cites work @@
+On a risk model with dependence between claim sizes and claim intervals
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+On the expected discounted penalty function for the compound Poisson risk model with delayed claims
+Normal rank
@@ Property / cites work @@
+The perturbed compound Poisson risk model with multi-layer dividend strategy
+Normal rank
@@ Property / cites work @@
+On a risk model with stochastic premiums income and dependence between income and loss
+Normal rank
@@ Property / cites work @@
+Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
+Normal rank
@@ Property / cites work @@
+A perturbed risk model with dependence between premium rates and claim sizes
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:391064