A note on deficit analysis in dependency models involving Coxian claim amounts

DOI10.1080/03461238.2012.723044zbMath1401.91157OpenAlexW2067332015MaRDI QIDQ4576861

Gordon E. Willmot, Jae-Kyung Woo, Wing Yan Lee, David Landriault

Publication date: 11 July 2018

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

Full work available at URL: http://hdl.handle.net/10722/184726

zbMATH Keywords

Lagrange polynomialstime to ruindeficit at ruinCauchy matrixCoxian-type claim sizesdependent Sparre Andersen risk modelLundberg's generalized equationVandemonde matrix

Mathematics Subject Classification ID

Related Items (7)

COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ Collective risk models with dependence ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ A copula model for marked point processes ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas

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