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A note on discounted compound renewal sums under dependency · Study

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ArticleA note on discounted compound renewal sums under dependency

Jae‐Kyung Woo2012

Article2012

A note on discounted compound renewal sums under dependency

Jae‐Kyung Woo · Eric C.K. Cheung

29 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Probability and Statistical Research Insurance, Mortality, Demography, Risk Management

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References

1999An Introduction to Copulas 1998On the Time Value of Ruin 2001Correlation and Dependence 2001Correlation and Dependence 2004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 2001Lundberg Approximations for Compound Distributions with Insurance Applications 2001On the time to ruin for Erlang(2) risk processes 2004On ruin for the Erlang(n) risk process

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2011On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copulaarticle · 15 shared references 2012On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copulaarticle · 11 shared references 2010Covariance of discounted compound renewal sums with a stochastic interest ratearticle · 9 shared references 2015Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal modelarticle · 9 shared references 2008On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copulaarticle · 8 shared references 2010Gerber–Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim timesarticle · 8 shared references

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Year2012

Typearticle

Published2012-12-04

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations29

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2012.11.005

openalex_workW2086070541

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