Ruin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260006314 | ||
| 003 | MAP | ||
| 005 | 20260310165722.0 | ||
| 008 | 260225e20261215che|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20200018810$aZhu, Wei | |
| 245 | 1 | 0 | $aRuin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window$cWei Zhu |
| 520 | $aIn 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 | ||
| 650 | 4 | $0MAPA20080603069$aProbabilidad de ruina | |
| 650 | 4 | $0MAPA20080557799$aDependencia | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080564322$aTarificación | |
| 650 | 4 | $0MAPA20080573386$aPrima de riesgo | |
| 773 | 0 | $wMAP20220007085$g15/12/2025 Volume 15 Issue 3 - December 2025 , 27 p.$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022 |