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
收藏
页码：445 / 452
页数：8
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