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Article: On a correlated aggregate claims model with Poisson and Erlang risk processes

TitleOn a correlated aggregate claims model with Poisson and Erlang risk processes
Authors
KeywordsCompound Poisson Process
Correlated Aggregate Claims
Erlang Process
Ruin Probability
Survival Probability
Issue Date2002
PublisherElsevier 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/172397
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_US
dc.contributor.authorGuo, Jen_US
dc.contributor.authorWu, Xen_US
dc.date.accessioned2012-10-30T06:22:20Z-
dc.date.available2012-10-30T06:22:20Z-
dc.date.issued2002en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2002, v. 31 n. 2, p. 205-214en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172397-
dc.description.abstractIn 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.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subjectCompound Poisson Processen_US
dc.subjectCorrelated Aggregate Claimsen_US
dc.subjectErlang Processen_US
dc.subjectRuin Probabilityen_US
dc.subjectSurvival Probabilityen_US
dc.titleOn a correlated aggregate claims model with Poisson and Erlang risk processesen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/S0167-6687(02)00150-6en_US
dc.identifier.scopuseid_2-s2.0-0037131287en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0037131287&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume31en_US
dc.identifier.issue2en_US
dc.identifier.spage205en_US
dc.identifier.epage214en_US
dc.identifier.isiWOS:000178987800005-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.scopusauthoridGuo, J=7404490037en_US
dc.identifier.scopusauthoridWu, X=7408238280en_US

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