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

TitleOn a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation
Authors
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
Citation
Methodology And Computing In Applied Probability, 2012, v. 14 n. 4, p. 973-995 How to Cite?
Abstract
In 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.
Persistent Identifierhttp://hdl.handle.net/10722/172480
ISSN
2013 Impact Factor: 0.778
2013 SCImago Journal Rankings: 0.670
ISI Accession Number ID

 

Author Affiliations
  1. The University of Hong Kong
  2. Chongqing University
DC FieldValueLanguage
dc.contributor.authorZhang, Zen_US
dc.contributor.authorYang, Hen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2012-10-30T06:22:44Z-
dc.date.available2012-10-30T06:22:44Z-
dc.date.issued2012en_US
dc.identifier.citationMethodology And Computing In Applied Probability, 2012, v. 14 n. 4, p. 973-995en_US
dc.identifier.issn1387-5841en_US
dc.identifier.urihttp://hdl.handle.net/10722/172480-
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.en_US
dc.languageengen_US
dc.publisherSpringer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841en_US
dc.relation.ispartofMethodology and Computing in Applied Probabilityen_US
dc.subjectDefective Renewal Equationen_US
dc.subjectDependenceen_US
dc.subjectGerber-Shiu Functionen_US
dc.subjectJump-Diffusionen_US
dc.subjectLaplace Transformen_US
dc.titleOn a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbationen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1007/s11009-011-9215-1en_US
dc.identifier.scopuseid_2-s2.0-84867902642en_US
dc.identifier.spage973en_US
dc.identifier.epage995en_US
dc.identifier.isiWOS:000310228800005-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridZhang, Z=35219373500en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US
dc.identifier.scopusauthoridYang, H=36078235900en_US
dc.identifier.citeulike8848215-

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