Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals
نویسندگان
چکیده
منابع مشابه
A Ruin Model with Dependence between Claim Sizes and Claim Intervals
We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples.
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Physics
سال: 2016
ISSN: 2327-4352,2327-4379
DOI: 10.4236/jamp.2016.411205