On the analysis of a general class of dependent risk processes

DOI10.1016/J.INSMATHECO.2012.03.007MaRDI QIDQ2444713zbMATH OpenOpenAlexFDO

Authors 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

bivariate mixed Erlangcombination of ErlangsCoxian distributionFarlie-Gumbel-Morgenstern class of distributionsgeneralized Gerber-Shiu functionLagrange polynomialsSparre Andersen risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A Bivariate Extension of the Exponential Distribution
• A Continuous Bivariate Exponential Extension
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• A new class of bivariate copulas.
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Gerber-Shiu analysis with a generalized penalty function.
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• Modeling dependent risks with multivariate Erlang mixtures
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On a Morgenstern-type bivariate gamma distribution
• On a risk model with dependence between interclaim arrivals and claim sizes
• On orderings and bounds in a generalized Sparre Andersen risk model
• On ruin for the Erlang \((n)\) risk process
• On the class of Erlang mixtures with risk theoretic applications
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Time Value of Ruin
• Ruin probabilities
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• The performance of some correlation coefficients for a general bivariate distribution
• The Time Value of Ruin in a Sparre Andersen Model
• TVaR-based capital allocation with copulas

Cited in

(18)

• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• Some specific density functions of aggregated discounted claims with dependent risks
• Bayesian credibility under a bivariate prior on the frequency and the severity of claims
• On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
• On a class of dependent Sparre Andersen risk models and a bailout application
• A note on discounted compound renewal sums under dependency
• 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
• Processes with independent increments in risk theory
• Dependent Risk Models with Bivariate Phase-Type Distributions
• A general risk process and its properties
• Adjustment coefficient for risk processes in some dependent contexts
• 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
• scientific article; zbMATH DE number 5018538 (Why is no real title available?)
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts

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