Joint distributions of some actuarial random vectors for the Cox risk model

DOI10.1002/asmb.916zbMath1286.91069OpenAlexW2166661700MaRDI QIDQ5414513

Xu Lin, Wang Rongming, Yao Dingjun

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.916

zbMATH Keywords

ruin timeCox risk modelactuarial random vectoroperational time scale

Mathematics Subject Classification ID

Cites Work

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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
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• A Cox process with log-normal intensity.
• Some distributions for classical risk process that is perturbed by diffusion
• On the distribution of surplus immediately after ruin under interest force and subexponential claims
• Fluctuations of Lévy processes and scattering theory
• Risk theory in a Markovian environment
• Lundberg inequalities for a Cox model with a piecewise constant intensity
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate

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