On a ruin model with both interclaim times and premiums depending on claim sizes

DOI10.1080/03461238.2013.811096MaRDI QIDQ4576796zbMATH OpenOpenAlexFDO

Authors Zhong Li, Kristina P. Sendova

Publication date 10 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2013.811096

zbMATH Keywords

dependenceGerber-Shiu functionLundberg's equationrisk model

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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Cites work

• A ruin model with dependence between claim sizes and claim intervals
• Exponential Behavior in the Presence of Dependence in Risk Theory
• scientific article; zbMATH DE number 3755546 (Why is no real title available?)
• scientific article; zbMATH DE number 805121 (Why is no real title available?)
• On a risk model with dependence between claim sizes and claim intervals
• On a risk model with dependence between interclaim arrivals and claim sizes
• On ruin for the Erlang \((n)\) risk process
• On the time to ruin for Erlang(2) risk processes.
• On the Time Value of Ruin
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

Cited in

(10)

• A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
• Analysis of IBNR liabilities with interevent times depending on claim counts
• On corrected phase-type approximations of the time value of ruin with heavy tails
• A ruin model with compound Poisson income and dependence between claim sizes and claim intervals
• On a risk model with dependence between interclaim arrivals and claim sizes
• Optimal reinsurance problems with extrapolative claim expectation
• Ruin under stochastic dependence between premium and claim arrivals
• Risk models based on copulas for premiums and claim sizes
• scientific article; zbMATH DE number 7642016 (Why is no real title available?)
• On an insurance ruin model with a causal dependence structure and perturbation

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