The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim

DOI10.1007/S11741-007-0602-1zbMATH Open1150.91440OpenAlexW2031136649MaRDI QIDQ3513359FDOQ3513359

Authors: Gaoqin Nie, Cihua Liu, Lixia Xu 

Publication date: 6 August 2008

Published in: Journal of Shanghai University (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11741-007-0602-1

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zbMATH Keywords

Laplace transformintegro-differential equationby-claimexpected discounted penalty

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• On the expected discounted penalty functions for two classes of risk processes
• On the Time Value of Ruin
• Aspects of risk theory
• On a correlated aggregate claims model with thinning-dependence structure
• A ruin model with dependence between claim sizes and claim intervals

Cited In (1)

• Expected discounted penalty functions for a two correlated aggregate claims model

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