Ruin probability for correlated negative risk sums model with Erlang processes

DOI10.1007/S11766-009-1728-9zbMath1199.62036OpenAlexW2108044030MaRDI QIDQ846780

Yinghui Dong

Publication date: 12 February 2010

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-009-1728-9

zbMATH Keywords

correlated negative risk sums process equationErlang process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering

Cites Work

• Unnamed Item
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• Ruin probability for renewal risk model with negative risk sums
• The Time Value of Ruin in a Sparre Andersen Model

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