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

DOI10.1016/j.insmatheco.2009.08.008zbMath1231.91263OpenAlexW2040593571MaRDI QIDQ659158

Jun Cai, Ming Zhou

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.008

zbMATH Keywords

diffusionLaplace transformRouché's theoremsurvival probabilitydependencedefective renewal equationclosed contour

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (11)

On a perturbed compound Poisson model with varying premium rates ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Risk models based on copulas for premiums and claim sizes ⋮ Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times ⋮ Ruin under stochastic dependence between premium and claim arrivals ⋮ On a risk model with random incomes and dependence between claim sizes and claim intervals ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ On a risk model with stochastic premiums income and dependence between income and loss ⋮ A ruin model with compound Poisson income and dependence between claim sizes and claim intervals

Cites Work

• A ruin model with dependence between claim sizes and claim intervals
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On the discounted penalty function in a Markov-dependent risk model
• On ruin for the Erlang \((n)\) risk process
• On the time to ruin for Erlang(2) risk processes.
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• On a risk model with dependence between interclaim arrivals and claim sizes
• Exponential Behavior in the Presence of Dependence in Risk Theory

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