On a risk model with stochastic premiums income and dependence between income and loss

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:234

Article

Zhang, Zhimin¹  Yang, Hu¹ 

[1] Chongqing Univ, Dept Stat & Actuarial Sci, Chongqing 630044, Peoples R China

关键词: Gerber-Shiu function;    Defective renewal equation;    Laplace transform;    Ruin probability;    Stochastic premiums;   

DOI  :  10.1016/j.cam.2009.12.004

来源: Elsevier

【 摘 要 】

Labbe and Sendova (2009) [9] consider a compound Poisson risk model with stochastic premiums income. In this paper, we extend their model by assuming that there exists a specific dependence structure among the claim sizes, interclaim times and premium sizes. Assume that the distributions of the premium sizes and interclaim times are controlled by the claim sizes. When the individual premium sizes are exponentially distributed, the Laplace transforms and defective renewal equations for the (Gerber-Shiu) discounted penalty functions are obtained. When the individual premium sizes have rational Laplace transforms, we show that the Laplace transforms for the discounted penalty functions can also be obtained. (C) 2009 Elsevier B.V. All rights reserved.

【 授权许可】

Free