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

DOI10.1016/j.spl.2008.01.031zbMath1284.91258OpenAlexW2069605064MaRDI QIDQ947167

Xin Zhang, Qing-bin Meng, Jun-Yi Guo

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.031

Mathematics Subject Classification ID

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Cites Work

• A ruin model with dependence between claim sizes and claim intervals
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Ruin probabilities for time-correlated claims in the compound binomial model.
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• Simulation of ruin probabilities for risk processes of Markovian type
• Rough descriptions of ruin for a general class of surplus processes
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• Large deviations for the time of ruin