Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts

DOI10.1080/17442508.2011.615932zbMath1262.91094MaRDI QIDQ3145068

Vladimir K. Kaishev, Zvetan G. Ignatov

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/15207/1/Ignatov%2C%20Kaishev%20%282012%29%20SJ.pdf

zbMATH Keywords

risk process; divided difference; dependent claim amounts; Erlang claim inter-arrival times; exponential Appell polynomials; finite-time (non-) ruin probability

Mathematics Subject Classification ID

60K99: Special processes

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

Related Items

On finite-time ruin probabilities in a generalized dual risk model with dependence, On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing, Appell pseudopolynomials and Erlang-type risk models, A survey of some recent results on Risk Theory

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