Article: On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation

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TitleOn a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation
AuthorsZhang, Z2
Yang, H
Yang, H1
KeywordsDefective Renewal Equation
Dependence
Gerber-Shiu Function
Jump-Diffusion
Laplace Transform
Issue Date2012
PublisherSpringer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841
CitationMethodology And Computing In Applied Probability, 2012, v. 14 n. 4, p. 973-995 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s11009-011-9215-1
AbstractIn 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.
ISSN1387-5841
2011 Impact Factor: 0.753
2011 SCImago Journal Rankings: 0.040
DOIhttp://dx.doi.org/10.1007/s11009-011-9215-1
DC Field
Value
dc.contributor.authorZhang, Z
dc.contributor.authorYang, H
dc.contributor.authorYang, H
dc.date.accessioned2012-10-30T06:22:44Z
dc.date.available2012-10-30T06:22:44Z
dc.date.issued2012
dc.description.abstractIn 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.
dc.description.natureLink_to_subscribed_fulltext
dc.identifier.citationMethodology And Computing In Applied Probability, 2012, v. 14 n. 4, p. 973-995 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s11009-011-9215-1
dc.identifier.citeulike8848215
dc.identifier.doihttp://dx.doi.org/10.1007/s11009-011-9215-1
dc.identifier.epage995
dc.identifier.issn1387-5841
2011 Impact Factor: 0.753
2011 SCImago Journal Rankings: 0.040
dc.identifier.scopuseid_2-s2.0-84867902642
dc.identifier.spage973
dc.identifier.urihttp://hdl.handle.net/10722/172480
dc.languageeng
dc.publisherSpringer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841
dc.publisher.placeNetherlands
dc.relation.ispartofMethodology and Computing in Applied Probability
dc.subjectDefective Renewal Equation
dc.subjectDependence
dc.subjectGerber-Shiu Function
dc.subjectJump-Diffusion
dc.subjectLaplace Transform
dc.titleOn a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation
dc.typeArticle
Author Affiliations
  1. The University of Hong Kong
  2. Chongqing University