Ruin probability for correlated negative risk sums model with Erlang processes

DOI10.1007/S11766-009-1728-9zbMATH Open1199.62036OpenAlexW2108044030MaRDI QIDQ846780FDOQ846780

Authors: Yinghui Dong 

Publication date: 12 February 2010

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-009-1728-9

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zbMATH Keywords

correlated negative risk sums process equationErlang process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The Time Value of Ruin in a Sparre Andersen Model
• Ruin probability for renewal risk model with negative risk sums
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims
• Title not available (Why is that?)

Cited In (7)

• Title not available (Why is that?)
• Minimization of absolute ruin probability under negative correlation assumption
• Ruin probabilities for Erlang (2) risk processes
• Application of advanced integrodifferential equations in insurance mathematics and process engineering
• Title not available (Why is that?)
• Ruin probability for renewal risk model with negative risk sums
• The non-ruin probability for the risk reserve process with Erlang type claims

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