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

DOI10.1007/S10255-015-0478-0MaRDI QIDQ2355360zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Laplace transformdependencediscounted penalty functionruin model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• A note on the compound binomial model with randomized dividend strategy
• A perturbed risk model with dependence between premium rates and claim sizes
• A ruin model with dependence between claim sizes and claim intervals
• 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
• On a risk model with dependence between interclaim arrivals and claim sizes
• On a risk model with stochastic premiums income and dependence between income and loss
• On the Time Value of Ruin
• On the discounted penalty function in a Markov-dependent risk model
• On the time to ruin for Erlang(2) risk processes.
• Single-server queue with Markov-dependent inter-arrival and service times
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income
• The expected discounted penalty at ruin in the risk process with random income
• The expected discounted penalty function under a risk model with stochastic income

Cited in

(8)

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

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