Expected discounted penalty functions for a two correlated aggregate claims model

MaRDI QIDQ3403759zbMATH OpenFDO

Authors Yan Zhang, Zheng Tian, Xiangzeng Liu

Publication date 12 February 2010

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)

Recommendations

• Expected discounted penalty functions for a two correlated aggregate claims model
• The discounted penalty function of a risk model with two dependent classes of risk processes
• scientific article; zbMATH DE number 5671192
• On the expected discounted penalty functions for two classes of risk processes
• On a correlated aggregate claims model with Poisson and Erlang risk processes.

Cited in

(6)

• Cox risk model with correlated classes of business
• The discounted penalty function of a risk model with two dependent classes of risk processes
• The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim
• 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.

This page was built for publication: Expected discounted penalty functions for a two correlated aggregate claims model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3403759)