A Ruin Model with Random Income and Dependence between Claim Sizes and Claim Intervals

被引：5

作者：

Yang, Hu ^{[1
]}

Hao, Yuan-yuan ^{[1
]}

机构：

[1] Chongqing Univ, Coll Math & Stat, Chongqing 400030, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2010年 / 26卷 / 04期

关键词：

Ruin model; expected discounted penalty function; dependence; ruin probability; EXPECTED DISCOUNTED PENALTY;

D O I：

10.1007/s10255-010-0028-8

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a generalization of the classical ruin model, where the income is random and the distribution of the time between two claim occurrences depends on the previous claim size. This model is more appropriate than the classical ruin model. Explicit expression for the generating function of the Gerber-Shiu expected discounted penalty function are derived. A similar model is discussed. Finally, the result are showed by two examples.

引用

页码：625 / 632

页数：8

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