File Download
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1080/03610920902788103
- Scopus: eid_2-s2.0-77649153328
- WOS: WOS:000275049600002
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Dependent insurance risk model: deterministic threshold
Title | Dependent insurance risk model: deterministic threshold | ||||
---|---|---|---|---|---|
Authors | |||||
Keywords | Delay differential equation Exponential claim distribution Lundberg inequality Ruin probability | ||||
Issue Date | 2010 | ||||
Publisher | Taylor & 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? | ||||
Abstract | This 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 Identifier | http://hdl.handle.net/10722/138684 | ||||
ISSN | 2023 Impact Factor: 0.6 2023 SCImago Journal Rankings: 0.446 | ||||
ISI Accession Number ID |
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 Field | Value | Language |
---|---|---|
dc.contributor.author | Kwan, IKM | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.date.accessioned | 2011-09-06T04:11:15Z | - |
dc.date.available | 2011-09-06T04:11:15Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | Communications In Statistics - Theory And Methods, 2010, v. 39 n. 5, p. 765-776 | en_HK |
dc.identifier.issn | 0361-0926 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/138684 | - |
dc.description.abstract | This 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.language | eng | - |
dc.publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03610926.asp | en_HK |
dc.relation.ispartof | Communications in Statistics - Theory and Methods | en_HK |
dc.rights | This 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.subject | Delay differential equation | en_HK |
dc.subject | Exponential claim distribution | en_HK |
dc.subject | Lundberg inequality | en_HK |
dc.subject | Ruin probability | en_HK |
dc.title | Dependent insurance risk model: deterministic threshold | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://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.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1080/03610920902788103 | en_HK |
dc.identifier.scopus | eid_2-s2.0-77649153328 | en_HK |
dc.identifier.hkuros | 173061 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77649153328&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 39 | en_HK |
dc.identifier.issue | 5 | en_HK |
dc.identifier.spage | 765 | en_HK |
dc.identifier.epage | 776 | en_HK |
dc.identifier.isi | WOS:000275049600002 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Kwan, IKM=35750188900 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.issnl | 0361-0926 | - |