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

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