On a ruin model with both interclaim times and premiums depending on claim sizes

DOI10.1080/03461238.2013.811096zbMath1398.91342OpenAlexW2045747643MaRDI QIDQ4576796

Kristina P. Sendova, Zhong Li

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.811096

zbMATH Keywords

dependencerisk modelGerber-Shiu functionLundberg's equation

Mathematics Subject Classification ID

Related Items (6)

Analysis of IBNR liabilities with interevent times depending on claim counts ⋮ Optimal reinsurance problems with extrapolative claim expectation ⋮ Risk models based on copulas for premiums and claim sizes ⋮ Ruin under stochastic dependence between premium and claim arrivals ⋮ Unnamed Item ⋮ On corrected phase-type approximations of the time value of ruin with heavy tails

Cites Work

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• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• A ruin model with dependence between claim sizes and claim intervals
• On a risk model with dependence between claim sizes and claim intervals
• On ruin for the Erlang \((n)\) risk process
• On the time to ruin for Erlang(2) risk processes.
• On a risk model with dependence between interclaim arrivals and claim sizes
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On the Time Value of Ruin

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