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Article: On the analysis of a general class of dependent risk processes

TitleOn the analysis of a general class of dependent risk processes
Authors
KeywordsBivariate Mixed Erlang
Combination Of Erlangs
Coxian Distribution
Farlie-Gumbel-Morgenstern Class Of Distributions
Generalized Gerber-Shiu Function
Lagrange Polynomials
Sparre Andersen Risk Model
Issue Date2012
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2012, v. 51 n. 1, p. 134-141 How to Cite?
AbstractA generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and analyzed. It is then shown that this structure in turn often implies particular functional forms for joint discounted densities of ruin related variables including some or all of the deficit at ruin, the surplus immediately prior to ruin, and the surplus after the second last claim. Then, employing a fairly general interclaim time structure which involves a combination of Erlang type densities, a complete identification of a generalized Gerber-Shiu function is provided. An application is given applying these results to a situation involving a mixed Erlang type of claim amount assumption. Various examples and special cases of the model are then considered, including one involving a bivariate Erlang mixture model. © 2012 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/172495
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWillmot, GEen_US
dc.contributor.authorWoo, JKen_US
dc.date.accessioned2012-10-30T06:22:48Z-
dc.date.available2012-10-30T06:22:48Z-
dc.date.issued2012en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2012, v. 51 n. 1, p. 134-141en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172495-
dc.description.abstractA generalized Sparre Andersen risk process is examined, whereby the joint distribution of the interclaim time and the ensuing claim amount is assumed to have a particular mathematical structure. This structure is present in various dependency models which have previously been proposed and analyzed. It is then shown that this structure in turn often implies particular functional forms for joint discounted densities of ruin related variables including some or all of the deficit at ruin, the surplus immediately prior to ruin, and the surplus after the second last claim. Then, employing a fairly general interclaim time structure which involves a combination of Erlang type densities, a complete identification of a generalized Gerber-Shiu function is provided. An application is given applying these results to a situation involving a mixed Erlang type of claim amount assumption. Various examples and special cases of the model are then considered, including one involving a bivariate Erlang mixture model. © 2012 Elsevier B.V.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.subjectBivariate Mixed Erlangen_US
dc.subjectCombination Of Erlangsen_US
dc.subjectCoxian Distributionen_US
dc.subjectFarlie-Gumbel-Morgenstern Class Of Distributionsen_US
dc.subjectGeneralized Gerber-Shiu Functionen_US
dc.subjectLagrange Polynomialsen_US
dc.subjectSparre Andersen Risk Modelen_US
dc.titleOn the analysis of a general class of dependent risk processesen_US
dc.typeArticleen_US
dc.identifier.emailWoo, JK: jkwoo@hku.hken_US
dc.identifier.authorityWoo, JK=rp01623en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.insmatheco.2012.03.007en_US
dc.identifier.scopuseid_2-s2.0-84859775627en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84859775627&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume51en_US
dc.identifier.issue1en_US
dc.identifier.spage134en_US
dc.identifier.epage141en_US
dc.identifier.eissn1873-5959-
dc.identifier.isiWOS:000305259800013-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridWillmot, GE=6603756372en_US
dc.identifier.scopusauthoridWoo, JK=26642855300en_US
dc.identifier.citeulike10504280-

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