Ruin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20260006314</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20260310165722.0</controlfield>
    <controlfield tag="008">260225e20261215che|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20200018810</subfield>
      <subfield code="a">Zhu, Wei </subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Ruin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window</subfield>
      <subfield code="c">Wei Zhu</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">In this paper, we investigate an Erlang risk model wherein the premium rate and claim size distribution are dynamically adjusted based on the inter-arrival time and an independent random time window. The ruin probabilities within this model adhere to a system of fractional integro-differential equations. For a specific class of claim size distributions, this system can be further transformed into a fractional differential equation system. We provide explicit solutions for these fractional boundary problems and illustrate our findings with several numerical examples</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080603069</subfield>
      <subfield code="a">Probabilidad de ruina</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080557799</subfield>
      <subfield code="a">Dependencia</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080564322</subfield>
      <subfield code="a">Tarificación</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080573386</subfield>
      <subfield code="a">Prima de riesgo</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20220007085</subfield>
      <subfield code="g">15/12/2025 Volume 15 Issue 3 - December 2025 , 27 p.</subfield>
      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
    </datafield>
  </record>
</collection>