Expected discounted penalty functions for a two correlated aggregate claims model

zbMATH Open1199.91120MaRDI QIDQ3403759FDOQ3403759

Authors: Yan Zhang, Zheng Tian, Xiangzeng Liu 

Publication date: 12 February 2010

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zbMATH Keywords

Poisson processruin probabilityLaplace transformsexpected discounted penalty functionsgeneralized Erlang (2) process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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• Cox risk model with correlated classes of business
• The discounted penalty function of a risk model with two dependent classes of risk processes
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• Expected discounted penalty functions for a two correlated aggregate claims model
• The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
• On a correlated aggregate claims model with Poisson and Erlang risk processes.

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