Expected discounted penalty functions for a two correlated aggregate claims model

MaRDI QIDQ3404966zbMATH OpenFDO

Authors Yan Zhang, Zheng Tian, Xiangzeng Liu

Publication date 12 February 2010

zbMATH Keywords

expected discounted penalty functiongeneralized Erlang (2) processgeneralized Poisson processLaplace transformruin probability

Mathematics Subject Classification ID

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

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• Expected discounted penalty functions for a two correlated aggregate claims model
• The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim

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