Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts

DOI10.1080/17442508.2011.615932zbMath1262.91094OpenAlexW1981197309MaRDI QIDQ3145068

Vladimir K. Kaishev, Zvetan G. Ignatov

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/15207/1/Ignatov%2C%20Kaishev%20%282012%29%20SJ.pdf

zbMATH Keywords

risk processdivided differencedependent claim amountsErlang claim inter-arrival timesexponential Appell polynomialsfinite-time (non-) ruin probability

Mathematics Subject Classification ID

Special processes (60K99) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (4)

A survey of some recent results on Risk Theory ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ On finite-time ruin probabilities in a generalized dual risk model with dependence ⋮ Appell pseudopolynomials and Erlang-type risk models

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