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Article: On a correlated aggregate claims model with Poisson and Erlang risk processes
Title | On a correlated aggregate claims model with Poisson and Erlang risk processes |
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Authors | |
Keywords | Compound Poisson Process Correlated Aggregate Claims Erlang Process Ruin Probability Survival Probability |
Issue Date | 2002 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2002, v. 31 n. 2, p. 205-214 How to Cite? |
Abstract | In this paper we consider a risk model with two dependent classes of insurance business. In this model the two claim number processes are correlated. Claim occurrences of both classes relate to Poisson and Erlang processes. We derive explicit expressions for the ultimate survival probabilities under the assumed model when the claim sizes are exponentially distributed. We also examine the asymptotic property of the ruin probability for this special risk process with general claim size distributions. © 2002 Elsevier Science B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172397 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Guo, J | en_US |
dc.contributor.author | Wu, X | en_US |
dc.date.accessioned | 2012-10-30T06:22:20Z | - |
dc.date.available | 2012-10-30T06:22:20Z | - |
dc.date.issued | 2002 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2002, v. 31 n. 2, p. 205-214 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172397 | - |
dc.description.abstract | In this paper we consider a risk model with two dependent classes of insurance business. In this model the two claim number processes are correlated. Claim occurrences of both classes relate to Poisson and Erlang processes. We derive explicit expressions for the ultimate survival probabilities under the assumed model when the claim sizes are exponentially distributed. We also examine the asymptotic property of the ruin probability for this special risk process with general claim size distributions. © 2002 Elsevier Science B.V. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Compound Poisson Process | en_US |
dc.subject | Correlated Aggregate Claims | en_US |
dc.subject | Erlang Process | en_US |
dc.subject | Ruin Probability | en_US |
dc.subject | Survival Probability | en_US |
dc.title | On a correlated aggregate claims model with Poisson and Erlang risk processes | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/S0167-6687(02)00150-6 | en_US |
dc.identifier.scopus | eid_2-s2.0-0037131287 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0037131287&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 31 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.spage | 205 | en_US |
dc.identifier.epage | 214 | en_US |
dc.identifier.isi | WOS:000178987800005 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.scopusauthorid | Guo, J=7404490037 | en_US |
dc.identifier.scopusauthorid | Wu, X=7408238280 | en_US |
dc.identifier.issnl | 0167-6687 | - |