The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula (Q4576974): Difference between revisions

Latest revision as of 02:20, 16 July 2024

scientific article; zbMATH DE number 6901759

Language	Label	Description	Also known as
English	The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula	scientific article; zbMATH DE number 6901759

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instance of

scholarly article

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title

The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula (English)

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Scandinavian Actuarial Journal

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publication date

11 July 2018

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zbMATH Keywords

dependent risk model

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distribution of the maximum surplus

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Farlie-Gumbel-Morgenstern copula

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integro-differential equation

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explicit distribution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2014.936972

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cites work

On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times

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Explicit ruin formulas for models with dependence among risks

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Exponential Behavior in the Presence of Dependence in Risk Theory

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

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Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest

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A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

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Perturbed MAP Risk Models with Dividend Barrier Strategies

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Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

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On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

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Analysis of ruin measures for the classical compound Poisson risk model with dependence

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The Time Value of Ruin in a Sparre Andersen Model

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The discounted penalty function with multi-layer dividend strategy in the phase-type risk model

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The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

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

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On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy

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The compound Poisson risk model with multiple thresholds

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Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size

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

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Identifiers

zbMATH Open document ID

1401.91149

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DOI

10.1080/03461238.2014.936972

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4576974

@@ Property / author @@
+Wu-Yuan Jiang
@@ Property / author: Wu-Yuan Jiang / 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/10.1080/03461238.2014.936972
+Normal rank
@@ Property / OpenAlex ID @@
+W2058171355
@@ Property / OpenAlex ID: W2058171355 / rank @@
+Normal rank
@@ Property / cites work @@
+On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
+Normal rank
@@ Property / cites work @@
+Explicit ruin formulas for models with dependence among risks
+Normal rank
@@ Property / cites work @@
+Exponential Behavior in the Presence of Dependence in Risk Theory
+Normal rank
@@ Property / cites work @@
+On a risk model with dependence between interclaim arrivals and claim sizes
+Normal rank
@@ Property / cites work @@
+Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
+Normal rank
@@ Property / cites work @@
+A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
+Normal rank
@@ Property / cites work @@
+Perturbed MAP Risk Models with Dividend Barrier Strategies
+Normal rank
@@ Property / cites work @@
+Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
+Normal rank
@@ Property / cites work @@
+On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
+Normal rank
@@ Property / cites work @@
+Analysis of ruin measures for the classical compound Poisson risk model with dependence
+Normal rank
@@ Property / cites work @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
+Normal rank
@@ Property / cites work @@
+The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
+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 @@
+On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy
+Normal rank
@@ Property / cites work @@
+The compound Poisson risk model with multiple thresholds
+Normal rank
@@ Property / cites work @@
+Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
+Normal rank
@@ Property / cites work @@
+Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
+Normal rank