On the analysis of a general class of dependent risk processes

DOI10.1016/j.insmatheco.2012.03.007zbMath1284.91277MaRDI 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 polynomials; generalized Gerber-Shiu function; Sparre Andersen risk model; combination of Erlangs; Farlie-Gumbel-Morgenstern class of distributions; Coxian distribution; bivariate mixed Erlang

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

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, Discounted aggregate claim costs until ruin in the discrete-time renewal risk model, 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

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