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-2012-156zbMath1277.91100WikidataQ59289957 ScholiaQ59289957MaRDI QIDQ379099

Wu Yong, Hu Xiang

Publication date: 8 November 2013

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

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

45K05: Integro-partial differential equations

91G80: Financial applications of other theories

60K10: Applications of renewal theory (reliability, demand theory, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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Cites Work

• On ruin for the Erlang \((n)\) risk process
• 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 the modification of Rouche's theorem for the queueing theory problems