On a Risk Model with Dependence between Interclaim Arrivals and Claim Sizes with Multiple Thresholds under Stochastic Interest

Yu Juan Huang; Ai Qin Li

doi:10.4028/www.scientific.net/AMR.179-180.1086

Paper Titles

Research on Application and Development of Competitive Sports Simulation Based on Virtual Reality Technology
p.1063

A General Quad Search Tree on Two-Dimension Data
p.1069

Numerical Simulation of Infrared Nondestructive Testing to Metal Sample with Subsurface Defects
p.1075

The Markov Risk Model under Stochastic Discount Interest Force
p.1080

On a Risk Model with Dependence between Interclaim Arrivals and Claim Sizes with Multiple Thresholds under Stochastic Interest
p.1086

Prepare of Novel Zirconium Complex and Catalytic Performance for Ethylene Polymerization
p.1091

Study on Mid-Span Deflection of Beam Bridge under Moving Loads by the Recently Proposed Oscillator with Time-Dependent Stiffness
p.1096

Research on the New Personals Application Based on 3G Mobile and Bluetooth Piconet
p.1102

Preparation, Characterization and Biocompatibility of Regenerated Cellulose/PVA Blend Membranes in 1-Allyl-3-Methyimidazolium Chloride
p.1108

HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 179-180On a Risk Model with Dependence between Interclaim...

On a Risk Model with Dependence between Interclaim Arrivals and Claim Sizes with Multiple Thresholds under Stochastic Interest

Abstract:

The risk model with dependence between interclaim arrivals and claim sizes is studied in the presence of multiple thresholds and stochastic interest. An integro-differential equation for some Gerber-Shiu discounted penalty functions is derived.

You might also be interested in these eBooks

View Preview

Info:

Periodical:

Advanced Materials Research (Volumes 179-180)

Pages:

1086-1090

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.179-180.1086

Citation:

Cite this paper

Online since:

January 2011

Authors:

Yu Juan Huang, Ai Qin Li

Keywords:

Dependent Risk Model, Gerber-Shiu Discounted Penalty Function, Integro-Differential Equation, Multiple Threshold

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] D.C.M. Dickson, C. Hipp. On the time to ruin for Erlang(2) risk process. Insurance: Mathematics and Economics, Vol. 29(2001), pp.333-344.

DOI: 10.1016/s0167-6687(01)00091-9

Google Scholar

[2] H. U Gerber, E.S.W. Shiu, The time value of ruin in a Sparre Andersen risk model. North American Actuarial Journal, Vol. 9(2005), pp.49-69.

DOI: 10.1080/10920277.2005.10596197

Google Scholar

[3] S. Li, J. Garrido, On ruin for the Erlang(n) risk process. Insurance: Mathematics and Economics, Vol. 34(2004a), pp.391-408.

DOI: 10.1016/j.insmatheco.2004.01.002

Google Scholar

[4] S. Li, J. Garrido, On a general class of renewal risk process: analysis of the Gerber-Shiu function. Advances in Applied Probability, Vol. 37(2005), pp.836-856.

DOI: 10.1239/aap/1127483750

Google Scholar

[5] K.C. Yuen, J.Y. Guo. Ruin probabilities for time-correlated claims in the compound binomial model. Insurance: Mathematics and Econoics, Vol. 29(2001), p.47–57.

DOI: 10.1016/s0167-6687(01)00071-3

Google Scholar

[6] K.C. Yuen, J.Y. Guo, On a correlated aggregate claims model with Poisson and Erlang risk processes. Insurance: Mathematics and Economics, Vol. 31 (2002), pp.205-214.

DOI: 10.1016/s0167-6687(02)00150-6

Google Scholar

[7] H. Albrecher, J. Kantor. Simulation of ruin probabilities for risk processes for risk processes of Markovian type. Monte Carlo Methods and Applications, Vol. 8 (2002), p.111–127.

DOI: 10.1515/mcma.2002.8.2.111

Google Scholar

[8] H. Albrecher, O. J. Boxma, A ruin model with dependence between claim sizes and claim intervals. Insurance: Mathematics and Economics, Vol. 35(2004), pp.245-254.

DOI: 10.1016/j.insmatheco.2003.09.009

Google Scholar

[9] M. Boudreault, H. Cossette, D. Landriault, E. Marceau, On a risk model with dependence between interclaim arrivals and claim sizes. Scandinavian Actuarial Journal, Vol. 2006(2006), pp.265-285.

DOI: 10.1080/03461230600992266

Google Scholar

[10] D. Landriant. Constant dividend barrier in a risk model with interclaim-dependent claim sizes. Insurance: Mathematics and Economics, Vol. 42(2008), pp.31-38.

DOI: 10.1016/j.insmatheco.2006.12.002

Google Scholar

[11] Q.B. Meng, X. Zhang,. J.Y. Guo, On a risk model with dependence between claim sizes and claim intervals. Statistics and probability letters, Vol. 78(2008), pp.1727-1724.

DOI: 10.1016/j.spl.2008.01.031

Google Scholar

[12] X.S. Lin, K.P. Sendova. The compound Poisson risk model with multiple thresholds. Insurance: Mathematics and Economics, Vol. 42(2008), pp.617-627.

DOI: 10.1016/j.insmatheco.2007.06.008

Google Scholar

[13] X.S. Lin, K.P. Pavlova. The compound Poisson risk model with a threshold dividend strategy. Insurance: Mathematics and Economics, Vol. 38(2006), pp.57-80.

DOI: 10.1016/j.insmatheco.2005.08.001

Google Scholar