Ruin under stochastic dependence between premium and claim arrivals
From MaRDI portal
(Redirected from Publication:4583617)
Abstract: We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a model exhibits a stochastic dependence between the aggregate premium and claim amount processes. An explicit expression for the ruin probability is obtained when the claim and premium sizes are exponentially distributed.
Recommendations
- A class of ruin probability model with dependent structure
- A ruin model with dependence between claim sizes and claim intervals
- A ruin model with compound Poisson income and dependence between claim sizes and claim intervals
- Ruin probability in models with stochastic premiums
- Ruin probabilities for an insurance company based on some stochastic risk models
Cites work
- A dependent insurance risk model with surrender and investment under the thinning process
- A Direct Approach to the Discounted Penalty Function
- A perturbed risk model with dependence between premium rates and claim sizes
- A ruin model with dependence between claim sizes and claim intervals
- Deriving the equation for the non-ruin probability of the insurance company in (B,S)-market. Stochastic claims and stochastic premiums
- Explicit ruin formulas for models with dependence among risks
- Exponential Behavior in the Presence of Dependence in Risk Theory
- First exit times for ordinary and compound Poisson processes with nonlinear boundaries
- First passage times of a jump diffusion process
- First-exit times for compound poisson processes for some types of positive and negative jumps
- Gerber-Shiu risk theory
- scientific article; zbMATH DE number 2130681 (Why is no real title available?)
- scientific article; zbMATH DE number 2030798 (Why is no real title available?)
- On a risk model with dependence between interclaim arrivals and claim sizes
- On a risk model with stochastic premiums income and dependence between income and loss
- On a ruin model with both interclaim times and premiums depending on claim sizes
- On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
- On the compound Poisson risk model with dependence and a threshold dividend strategy
- On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes
- On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier
- Risk process with random income
- Ruin probabilities
- The expected discounted penalty at ruin in the risk process with random income
- The expected discounted penalty function under a risk model with stochastic income
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- The perturbed compound Poisson risk model with two-sided jumps
Cited in
(17)- Ordering ruin probabilities for dependent claim streams.
- RPA pathwise derivative estimation of ruin probabilities
- An insurance risk process with a generalized income process: a solvency analysis
- On the improved thinning risk model under a periodic dividend barrier strategy
- Risk processes with dependence and premium adjusted to solvency targets
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- Some extensions of the classical ruin model in risk theory
- The impact of the NBCC model with dependence on the ruin probabilities
- UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
- scientific article; zbMATH DE number 2030798 (Why is no real title available?)
- On a stochastic model for a cooperative banking scheme for microcredit
- Ruin problems for epidemic insurance
- Risk models based on copulas for premiums and claim sizes
- A class of ruin probability model with dependent structure
- scientific article; zbMATH DE number 5055332 (Why is no real title available?)
- Exponential Behavior in the Presence of Dependence in Risk Theory
- On an insurance ruin model with a causal dependence structure and perturbation
This page was built for publication: Ruin under stochastic dependence between premium and claim arrivals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4583617)
