On a risk model with random incomes and dependence between claim sizes and claim intervals

DOI10.1016/j.indag.2013.01.010zbMath1287.91097OpenAlexW1973732807MaRDI QIDQ391064

Wei Zou, Jie Hua Xie

Publication date: 9 January 2014

Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.indag.2013.01.010

zbMATH Keywords

heavy-tailed distributioncompound Poisson risk modeldefective renewal equationexpected discounted penalty functionrandom income

Mathematics Subject Classification ID

Related Items (7)

On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ Risk models based on copulas for premiums and claim sizes ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income ⋮ On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

Cites Work

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