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Article: Dependent insurance risk model: deterministic threshold

TitleDependent insurance risk model: deterministic threshold
Authors
KeywordsDelay differential equation
Exponential claim distribution
Lundberg inequality
Ruin probability
Issue Date2010
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp
Citation
Communications In Statistics - Theory And Methods, 2010, v. 39 n. 5, p. 765-776 How to Cite?
AbstractThis article considers a dependent insurance risk model. We assume that the inter-arrival time depends on the previous claim size through a deterministic threshold structure. Adjustment coefficient and Lundberg-type upper bound for the ruin probability are obtained. In case of exponential claim size, an explicit solution for the ruin probability is obtained by solving a system of ordinary delay differential equations. Some numerical results are included for illustration purposes.
Persistent Identifierhttp://hdl.handle.net/10722/138684
ISSN
2015 Impact Factor: 0.3
2015 SCImago Journal Rankings: 0.518
ISI Accession Number ID
Funding AgencyGrant Number
Research Grants Council of the Hong Kong Special Administrative Region, China7540/08H
Funding Information:

The authors would like to thank the referee for the helpful comments and suggestions. This research was supported by the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. 7540/08H).

References

 

DC FieldValueLanguage
dc.contributor.authorKwan, IKMen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2011-09-06T04:11:15Z-
dc.date.available2011-09-06T04:11:15Z-
dc.date.issued2010en_HK
dc.identifier.citationCommunications In Statistics - Theory And Methods, 2010, v. 39 n. 5, p. 765-776en_HK
dc.identifier.issn0361-0926en_HK
dc.identifier.urihttp://hdl.handle.net/10722/138684-
dc.description.abstractThis article considers a dependent insurance risk model. We assume that the inter-arrival time depends on the previous claim size through a deterministic threshold structure. Adjustment coefficient and Lundberg-type upper bound for the ruin probability are obtained. In case of exponential claim size, an explicit solution for the ruin probability is obtained by solving a system of ordinary delay differential equations. Some numerical results are included for illustration purposes.en_HK
dc.languageeng-
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.aspen_HK
dc.relation.ispartofCommunications in Statistics - Theory and Methodsen_HK
dc.rightsThis is an electronic version of an article published in Communications in Statistics: Theory and Methods, 2010, v. 39 n. 5, p. 765-776. The Journal article is available online at: http://www.tandfonline.com/doi/abs/10.1080/03610920902788103.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectDelay differential equationen_HK
dc.subjectExponential claim distributionen_HK
dc.subjectLundberg inequalityen_HK
dc.subjectRuin probabilityen_HK
dc.titleDependent insurance risk model: deterministic thresholden_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0361-0926&volume=39&issue=5&spage=765&epage=776&date=2010&atitle=Dependent+insurance+risk+model:+deterministic+threshold-
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1080/03610920902788103en_HK
dc.identifier.scopuseid_2-s2.0-77649153328en_HK
dc.identifier.hkuros173061-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77649153328&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume39en_HK
dc.identifier.issue5en_HK
dc.identifier.spage765en_HK
dc.identifier.epage776en_HK
dc.identifier.isiWOS:000275049600002-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridKwan, IKM=35750188900en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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