Ruin probability for correlated negative risk sums model with Erlang processes

DOI10.1007/S11766-009-1728-9MaRDI QIDQ846780zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

correlated negative risk sums process equationErlang process

Mathematics Subject Classification ID

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

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Cites work

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• On the distribution of a sum of correlated aggregate claims
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• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(7)

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• Minimization of absolute ruin probability under negative correlation assumption
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• The non-ruin probability for the risk reserve process with Erlang type claims

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