Dependent Insurance Risk Model: Deterministic Threshold

DOI10.1080/03610920902788103zbMath1188.62298OpenAlexW1992623206MaRDI QIDQ3562449

Hailiang Yang, Isaac K. M. Kwan

Publication date: 21 May 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/138684

zbMATH Keywords

delay differential equationruin probabilityLundberg inequalityexponential claim distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Qualitative investigation and simulation of models involving functional-differential equations (34K60)

Related Items (1)

Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model

Cites Work

• A ruin model with dependence between claim sizes and claim intervals
• Ordinary and delay differential equations
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• The safest dependence structure among risks.
• Explicit solution of a class of delay-differential equations
• Numerical Methods for Delay Differential Equations

This page was built for publication: Dependent Insurance Risk Model: Deterministic Threshold