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Article: On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation
Title | On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation |
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Authors | |
Keywords | Defective Renewal Equation Dependence Gerber-Shiu Function Jump-Diffusion Laplace Transform |
Issue Date | 2012 |
Publisher | Springer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841 |
Citation | Methodology And Computing In Applied Probability, 2012, v. 14 n. 4, p. 973-995 How to Cite? |
Abstract | In this paper, we consider a Sparre Andersen risk model where the interclaim time and claim size follow some bivariate distribution. Assuming that the risk model is also perturbed by a jump-diffusion process, we study the Gerber-Shiu functions when ruin is due to a claim or the jump-diffusion process. By using a q-potential measure, we obtain some integral equations for the Gerber-Shiu functions, from which we derive the Laplace transforms and defective renewal equations. When the joint density of the interclaim time and claim size is a finite mixture of bivariate exponentials, we obtain the explicit expressions for the Gerber-Shiu functions. © 2011 Springer Science+Business Media, LLC. |
Persistent Identifier | http://hdl.handle.net/10722/172480 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.430 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Zhang, Z | en_US |
dc.contributor.author | Yang, H | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:44Z | - |
dc.date.available | 2012-10-30T06:22:44Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Methodology And Computing In Applied Probability, 2012, v. 14 n. 4, p. 973-995 | en_US |
dc.identifier.issn | 1387-5841 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172480 | - |
dc.description.abstract | In this paper, we consider a Sparre Andersen risk model where the interclaim time and claim size follow some bivariate distribution. Assuming that the risk model is also perturbed by a jump-diffusion process, we study the Gerber-Shiu functions when ruin is due to a claim or the jump-diffusion process. By using a q-potential measure, we obtain some integral equations for the Gerber-Shiu functions, from which we derive the Laplace transforms and defective renewal equations. When the joint density of the interclaim time and claim size is a finite mixture of bivariate exponentials, we obtain the explicit expressions for the Gerber-Shiu functions. © 2011 Springer Science+Business Media, LLC. | en_US |
dc.language | eng | en_US |
dc.publisher | Springer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841 | en_US |
dc.relation.ispartof | Methodology and Computing in Applied Probability | en_US |
dc.subject | Defective Renewal Equation | en_US |
dc.subject | Dependence | en_US |
dc.subject | Gerber-Shiu Function | en_US |
dc.subject | Jump-Diffusion | en_US |
dc.subject | Laplace Transform | en_US |
dc.title | On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1007/s11009-011-9215-1 | en_US |
dc.identifier.scopus | eid_2-s2.0-84867902642 | en_US |
dc.identifier.spage | 973 | en_US |
dc.identifier.epage | 995 | en_US |
dc.identifier.isi | WOS:000310228800005 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Zhang, Z=35219373500 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.scopusauthorid | Yang, H=36078235900 | en_US |
dc.identifier.citeulike | 8848215 | - |
dc.identifier.issnl | 1387-5841 | - |