On the analysis of a general class of dependent risk processes

DOI10.1016/j.insmatheco.2012.03.007zbMath1284.91277OpenAlexW2052278075MaRDI QIDQ2444713

Jae-Kyung Woo, Gordon E. Willmot

Publication date: 10 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.03.007

zbMATH Keywords

Lagrange polynomialsgeneralized Gerber-Shiu functionSparre Andersen risk modelcombination of ErlangsFarlie-Gumbel-Morgenstern class of distributionsCoxian distributionbivariate mixed Erlang

Mathematics Subject Classification ID

Related Items (11)

On a class of dependent Sparre Andersen risk models and a bailout application ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ Analysis of IBNR claims in renewal insurance models ⋮ A note on discounted compound renewal sums under dependency ⋮ Bayesian credibility under a bivariate prior on the frequency and the severity of claims ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• TVaR-based capital allocation with copulas
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• On a Morgenstern-type bivariate gamma distribution
• A new class of bivariate copulas.
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On orderings and bounds in a generalized Sparre Andersen risk model
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• The performance of some correlation coefficients for a general bivariate distribution
• A Bivariate Extension of the Exponential Distribution
• On a risk model with dependence between interclaim arrivals and claim sizes
• A Continuous Bivariate Exponential Extension
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
• Moment generating functions of compound renewal sums with discounted claims

This page was built for publication: On the analysis of a general class of dependent risk processes