Dependent Insurance Risk Model: Deterministic Threshold

DOI10.1080/03610920902788103MaRDI QIDQ3562449zbMATH OpenOpenAlexFDO

Authors Isaac K. M. Kwan, Hailiang Yang

Publication date 21 May 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10722/138684

zbMATH Keywords

delay differential equationexponential claim distributionLundberg inequalityruin probability

Mathematics Subject Classification ID

Qualitative investigation and simulation of models involving functional-differential equations (34K60) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A ruin model with dependence between claim sizes and claim intervals
• Explicit solution of a class of delay-differential equations
• Numerical Methods for Delay Differential Equations
• Ordinary and delay differential equations
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The safest dependence structure among risks.

Cited in

(3)

• A dependent insurance risk model with surrender and investment under the thinning process
• Analysis of an insurance risk model with thinning dependence and common shock
• Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model

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