A ruin model with random income and dependence between claim sizes and claim intervals

DOI10.1007/S10255-010-0028-8MaRDI QIDQ601953zbMATH OpenOpenAlexFDO

Authors Hu Yang, Yuan-yuan Hao

Publication date 29 October 2010

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-010-0028-8

zbMATH Keywords

dependenceexpected discounted penalty functionruin modelruin probability

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• A note on the compound binomial model with randomized dividend strategy
• A ruin model with dependence between claim sizes and claim intervals
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• Large deviations for the time of ruin
• On a risk model with dependence between interclaim arrivals and claim sizes
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the first time of ruin in the bivariate compound Poisson model
• Risk process with random income
• Single-server queue with Markov-dependent inter-arrival and service times
• The expected discounted penalty at ruin in the risk process with random income
• The Gerber-Shiu discounted penalty function in the delayed renewal risk process with random income

Cited in

(7)

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• A ruin model with compound Poisson income and dependence between claim sizes and claim intervals
• On a risk model with random incomes and dependence between claim sizes and claim intervals
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• On a compound Poisson risk model with delayed claims and random incomes
• Compound binomial risk model with random income in Markov chain environment
• A ruin model with dependence between claim sizes and claim intervals

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