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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Publication:3513359
DOI10.1007/s11741-007-0602-1zbMath1150.91440MaRDI QIDQ3513359
Lixia Xu, Cihua Liu, Gaoqin Nie
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
62P05: Applications of statistics to actuarial sciences and financial mathematics
60K05: Renewal theory
Cites Work
- A ruin model with dependence between claim sizes and claim intervals
- On a correlated aggregate claims model with thinning-dependence structure
- Aspects of risk theory
- 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