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

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<title>Ruin probabilities in an erlang risk model with dependence structure based on an independent gamma-distributed time window</title>
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<namePart>Zhu, Wei </namePart>
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<dateIssued encoding="marc">2025</dateIssued>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Wei Zhu</note>
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<topic>Teoría del riesgo</topic>
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<topic>Probabilidad de ruina</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592011">
<topic>Modelos actuariales</topic>
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<topic>Dependencia</topic>
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<topic>Ecuaciones diferenciales</topic>
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<topic>Modelización</topic>
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<topic>Cálculo actuarial</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>11/08/2025 Volume 15 - Number 2 - August  2025 , p. 921 - 947</text>
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