ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

doi:10.1016/S0252-9602(06)60054-4

数学物理学报(英文版)

ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

刘艳; 杨文权; 胡亦钧

武汉大学数学与统计学院, 武汉 430072

收稿日期:2004-05-03 修回日期:1900-01-01 出版日期:2006-04-20 发布日期:2006-04-20
通讯作者: 刘艳
基金资助:
This work was supported in part by the National Natural Science Foundation of China (10071058, 70273029) and the Ministry of Education of China.

ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

Liu Yan; Yang Wenquan; Hu Yijun

School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China

Received:2004-05-03 Revised:1900-01-01 Online:2006-04-20 Published:2006-04-20
Contact: Liu Yan

摘要/Abstract

摘要：

This article considers a risk model as in Yuen et al. (2002). Under this model the two claim number processes are correlated. Claim occurrence of both
classes relate to Poisson and Erlang processes. The formulae is derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The asymptotic property of these ruin functions is also investigated.

Abstract:

Key words: Correlated aggregate claims, Poisson process, Erlang process, ruin functions

中图分类号:

91B30

刘艳; 杨文权; 胡亦钧. ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES[J]. 数学物理学报(英文版), 2006, 26(2): 321-330.

Liu Yan; Yang Wenquan; Hu Yijun. ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES[J]. Acta mathematica scientia,Series B, 2006, 26(2): 321-330.

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ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

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