Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter-claim time

DOI10.1186/1029-242X-2012-156zbMath1277.91100WikidataQ59289957 ScholiaQ59289957MaRDI QIDQ379099

Wu Yong, Hu Xiang

Publication date: 8 November 2013

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Integro-partial differential equations (45K05) Financial applications of other theories (91G80) Applications of renewal theory (reliability, demand theory, etc.) (60K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

• On ruin for the Erlang \((n)\) risk process
• On the time to ruin for Erlang(2) risk processes.
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On the modification of Rouche's theorem for the queueing theory problems

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