Add to ORKGWe consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace trans-form of the ruin function are derived. The results are illustrated by several examples.
We consider an insurance portfolio situation in which there is possible dependence between the waiti...
International audienceIn ruin theory, the univariate model may be found too restrictive to describe ...
In this paper, we consider a time-dependent risk model with a Brownian perturbation. In this model, ...
We consider a generalization of the classical ruin model to a dependent setting, where the distribut...
This paper constructs a model with a dependent setting where the time between two claim occurrences ...
In this note we provide a simple alternative derivation of an explicit formula of Kwan and Yang [14]...
Abstract: In this paper, we derive the explicit expressions and an upper bound of the ruin probabili...
Abstract. In this paper, we consider a continuous time risk model in-volving two types of dependent ...
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subo...
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subo...
We show that a simple mixing idea allows one to establish a number of explicit formulas for ruin pro...
In classical risk theory, the surplus process is a very important model for understand-ing how the c...
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the ...
© 2014 Dr. Jingchao LIIn recent years, there have been many studies on ruin related quantities. In p...
Neste trabalho apresentamos um modelo de risco dependente para descrever o excedente de uma carteira...
We consider an insurance portfolio situation in which there is possible dependence between the waiti...
International audienceIn ruin theory, the univariate model may be found too restrictive to describe ...
In this paper, we consider a time-dependent risk model with a Brownian perturbation. In this model, ...
We consider a generalization of the classical ruin model to a dependent setting, where the distribut...
This paper constructs a model with a dependent setting where the time between two claim occurrences ...
In this note we provide a simple alternative derivation of an explicit formula of Kwan and Yang [14]...
Abstract: In this paper, we derive the explicit expressions and an upper bound of the ruin probabili...
Abstract. In this paper, we consider a continuous time risk model in-volving two types of dependent ...
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subo...
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subo...
We show that a simple mixing idea allows one to establish a number of explicit formulas for ruin pro...
In classical risk theory, the surplus process is a very important model for understand-ing how the c...
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the ...
© 2014 Dr. Jingchao LIIn recent years, there have been many studies on ruin related quantities. In p...
Neste trabalho apresentamos um modelo de risco dependente para descrever o excedente de uma carteira...
We consider an insurance portfolio situation in which there is possible dependence between the waiti...
International audienceIn ruin theory, the univariate model may be found too restrictive to describe ...
In this paper, we consider a time-dependent risk model with a Brownian perturbation. In this model, ...