Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter-claim time

DOI10.1186/1029-242X-2012-156zbMATH Open1277.91100WikidataQ59289957 ScholiaQ59289957MaRDI QIDQ379099FDOQ379099

Authors: Wu Yong, Hu Xiang 

Publication date: 8 November 2013

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Integro-partial differential equations (45K05) Financial applications of other theories (91G80)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On ruin for the Erlang \((n)\) risk process
• On the modification of Rouche's theorem for the queueing theory problems

Cited In (6)

• A perturbed risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Optimal investment of a time-dependent renewal risk model with stochastic return
• The ruin probabilities for the two-dimensional risk model based on copula dependence
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula

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