A ruin model with dependence between claim sizes and claim intervals

By Hansjörg Albrecher *, Onno J. Boxma. 2004

181 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7a6a2dd2c4f145659382b93f1004a9dfe0d715ca

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In Demography

In Management Science and Operations Research

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Citations in the corpus

On a risk model with dependence between interclaim arrivals and claim sizes (2006, background): “Albrecher and Boxma (2004) have proposed an extension to the classical compound Poisson risk model in which the distribution of the time between two successive claims depends on the previous claim size.”
A Markovian growth-collapse model (2006, background): “In [1] the distribution of the claim interval depends on the previous claim size (see [9] for a queueing model with a similar dependence structure).”
Extremes on the discounted aggregate claims in a time dependent risk model (2010, background): “A certain semiMarkov dependence structure is considered by Albrecher and Boxma (2004, 2005). Using random walk techniques, Albrecher and Teugels (2006) derive explicit exponential estimates for infinite and finite time ruin probabilities under a dependence structure described by a copula, when the c”
On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011, background): “Conversely to Albrecher and Boxma (2004), Boudreault et al. (2006) assumed that if an interclaim time is greater than a certain threshold then the parameters of the distribution of the next claim amount is modified.”
On the discounted penalty function in a Markov-dependent risk model (2005, unknown): “Moreover, it also covers models with causal dependence structures of the type considered in Albrecher and Boxma [3], namely that the distribution of the inter-arrival time depends on the size of the previous claim in a speci(cid:12)ed way.”
Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005, background): “Other papers devoted to ruin models with dependence between the waiting time for a claim and its actual size include Albrecher and Boxma (2003) and Albrecher and Teugels (2004).”
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010, methodology): “(1999), Albrecher and Boxma (2004), (2005), and Biard et al. (2008), among others. In this paper we use the same dependence structure as proposed in Asimit and Badescu (2010) for the generic random pair (X, θ).”