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- Publisher Website: 10.1016/j.insmatheco.2012.03.007
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Article: On the analysis of a general class of dependent risk processes
Title | On the analysis of a general class of dependent risk processes |
---|---|
Authors | |
Keywords | Bivariate Mixed Erlang Combination Of Erlangs Coxian Distribution Farlie-Gumbel-Morgenstern Class Of Distributions Generalized Gerber-Shiu Function Lagrange Polynomials Sparre Andersen Risk Model |
Issue Date | 2012 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2012, v. 51 n. 1, p. 134-141 How to Cite? |
Abstract | A generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and analyzed. It is then shown that this structure in turn often implies particular functional forms for joint discounted densities of ruin related variables including some or all of the deficit at ruin, the surplus immediately prior to ruin, and the surplus after the second last claim. Then, employing a fairly general interclaim time structure which involves a combination of Erlang type densities, a complete identification of a generalized Gerber-Shiu function is provided. An application is given applying these results to a situation involving a mixed Erlang type of claim amount assumption. Various examples and special cases of the model are then considered, including one involving a bivariate Erlang mixture model. © 2012 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/172495 |
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 | Willmot, GE | en_US |
dc.contributor.author | Woo, JK | en_US |
dc.date.accessioned | 2012-10-30T06:22:48Z | - |
dc.date.available | 2012-10-30T06:22:48Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2012, v. 51 n. 1, p. 134-141 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172495 | - |
dc.description.abstract | A generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and analyzed. It is then shown that this structure in turn often implies particular functional forms for joint discounted densities of ruin related variables including some or all of the deficit at ruin, the surplus immediately prior to ruin, and the surplus after the second last claim. Then, employing a fairly general interclaim time structure which involves a combination of Erlang type densities, a complete identification of a generalized Gerber-Shiu function is provided. An application is given applying these results to a situation involving a mixed Erlang type of claim amount assumption. Various examples and special cases of the model are then considered, including one involving a bivariate Erlang mixture model. © 2012 Elsevier B.V. | 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 | Bivariate Mixed Erlang | en_US |
dc.subject | Combination Of Erlangs | en_US |
dc.subject | Coxian Distribution | en_US |
dc.subject | Farlie-Gumbel-Morgenstern Class Of Distributions | en_US |
dc.subject | Generalized Gerber-Shiu Function | en_US |
dc.subject | Lagrange Polynomials | en_US |
dc.subject | Sparre Andersen Risk Model | en_US |
dc.title | On the analysis of a general class of dependent risk processes | en_US |
dc.type | Article | en_US |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | en_US |
dc.identifier.authority | Woo, JK=rp01623 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2012.03.007 | en_US |
dc.identifier.scopus | eid_2-s2.0-84859775627 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84859775627&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 51 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 134 | en_US |
dc.identifier.epage | 141 | en_US |
dc.identifier.eissn | 1873-5959 | - |
dc.identifier.isi | WOS:000305259800013 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Willmot, GE=6603756372 | en_US |
dc.identifier.scopusauthorid | Woo, JK=26642855300 | en_US |
dc.identifier.citeulike | 10504280 | - |
dc.identifier.issnl | 0167-6687 | - |