A ruin model with compound Poisson income and dependence between claim sizes and claim intervals

DOI10.1007/S10255-015-0478-0zbMATH Open1319.91096OpenAlexW2395594168MaRDI QIDQ2355360FDOQ2355360

Authors: Yuan-yuan Hao, Hu Yang 

Publication date: 22 July 2015

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-015-0478-0

Recommendations

• A ruin model with random income and dependence between claim sizes and claim intervals
• A ruin model with dependence between claim sizes and claim intervals
• On a ruin model with both interclaim times and premiums depending on claim sizes
• A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
• On a risk model with random incomes and dependence between claim sizes and claim intervals

zbMATH Keywords

Laplace transformdependencediscounted penalty functionruin model

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• Title not available (Why is that?)
• On a risk model with dependence between interclaim arrivals and claim sizes
• On the Time Value of Ruin
• Single-server queue with Markov-dependent inter-arrival and service times
• On the discounted penalty function in a Markov-dependent risk model
• The expected discounted penalty function under a risk model with stochastic income
• A note on the compound binomial model with randomized dividend strategy
• On a risk model with stochastic premiums income and dependence between income and loss
• A perturbed risk model with dependence between premium rates and claim sizes
• A ruin model with dependence between claim sizes and claim intervals
• The expected discounted penalty at ruin in the risk process with random income
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income
• A ruin model with random income and dependence between claim sizes and claim intervals
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance

Cited In (8)

• On a risk model with random incomes and dependence between claim sizes and claim intervals
• A ruin model with dependence between claim sizes and claim intervals
• On a compound Poisson risk model with delayed claims and random incomes
• A ruin model with random income and dependence between claim sizes and claim intervals
• A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
• Ruin under stochastic dependence between premium and claim arrivals
• On a ruin model with both interclaim times and premiums depending on claim sizes
• Applications of the classical compound Poisson model with claim sizes following a compound distribution

This page was built for publication: A ruin model with compound Poisson income and dependence between claim sizes and claim intervals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2355360)