A Ruin Model with Compound Poisson Income and Dependence Between Claim Sizes and Claim Intervals

被引：4

作者：

Yuan-yuan HAO ^{[1
,2
]}

Hu YANG ^{[1
]}

机构：

[1] Department of Statistics and Actuarial Science, Chongqing University

[2] College of Mathematics, Chongqing Normal University

来源：

Acta Mathematicae Applicatae Sinica | 2015年 / 31卷 / 02期

基金：

中国国家自然科学基金; 中央高校基本科研业务费专项资金资助;

关键词：

discounted penalty function; laplace transform; ruin model; dependence;

D O I：

暂无

中图分类号：

O211.6 [随机过程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a ruin model with random income and dependence between claim sizes and claim intervals. In this paper, we extend the determinate premium income into a compound Poisson process and assume that the distribution of the time between two claim occurrences depends on the previous claim size.Given the premium size is exponentially distributed, the(Gerber-Shiu) discounted penalty functions is derived.Finally, we consider a similar model.

引用

页码：445 / 452

页数：8

共 34 条

[1] A Ruin Model with Compound Poisson Income and Dependence Between Claim Sizes and Claim Intervals
Hao, Yuan-yuan
Yang, Hu
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2015, 31 (02): : 445 - 452
[2] A ruin model with compound poisson income and dependence between claim sizes and claim intervals
Yuan-yuan Hao
Hu Yang
Acta Mathematicae Applicatae Sinica, English Series, 2015, 31 : 445 - 452
[3] A ruin model with dependence between claim sizes and claim intervals
Albrecher, H
Boxma, OJ
INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (02) : 245 - 254
[4] A Ruin Model with Random Income and Dependence between Claim Sizes and Claim Intervals
Yang, Hu
Hao, Yuan-yuan
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2010, 26 (04): : 625 - 632
[5] A ruin model with random income and dependence between claim sizes and claim intervals
Hu Yang
Yuan-yuan Hao
Acta Mathematicae Applicatae Sinica, English Series, 2010, 26 : 625 - 632
[6] A Ruin Model with Random Income and Dependence between Claim Sizes and Claim Intervals
Hu Yang
Acta Mathematicae Applicatae Sinica(English Series), 2010, 26 (04) : 625 - 632
[7] A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
Zhenhua Bao
Ye Liu
Advances in Difference Equations, 2016
[8] A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
Bao, Zhenhua
Liu, Ye
ADVANCES IN DIFFERENCE EQUATIONS, 2016,
[9] Applications of the classical compound Poisson model with claim sizes following a compound distribution
Gao, Dechen
Sendova, Kristina P.
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2023, 37 (02) : 357 - 386
[10] A perturbed risk model with dependence between premium rates and claim sizes
Zhou, Ming
Cai, Jun
INSURANCE MATHEMATICS & ECONOMICS, 2009, 45 (03) : 382 - 392

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