Centro de Documentacion de Fundación MAPFRE - Ruin probabilities in an erlang risk model with dependence structure based on an independent gamma-distributed time window

MAP20260002965

Ruin probabilities in an erlang risk model with dependence structure based on an independent gamma-distributed time window / Wei Zhu

Sumario: The document presents an Erlang-type actuarial risk model in which both the premium rate and the claim size distribution depend on a gamma-distributed random time window. It derives the fractional equations governing ruin probabilities and provides explicit solutions for certain classes of distributions, illustrated with numerical examples. The study proposes a more flexible and realistic approach to capturing the relationship between claim frequency and severity, offering analytical tools that enhance risk theory and actuarial management

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 11/08/2025 Volume 15 - Number 2 - August 2025 , p. 921 - 947

1. Teoría del riesgo . 2. Probabilidad de ruina . 3. Modelos actuariales . 4. Dependencia . 5. Ecuaciones diferenciales . 6. Modelización . 7. Cálculo actuarial . I. Springer Nature . II. Título.