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

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<dc:creator>Zhu, Wei </dc:creator>
<dc:date>2026-12-15</dc:date>
<dc:description xml:lang="es">Sumario: 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189867.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Probabilidad de ruina</dc:subject>
<dc:subject xml:lang="es">Dependencia</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Tarificación</dc:subject>
<dc:subject xml:lang="es">Prima de riesgo</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Ruin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 15/12/2025 Volume 15 Issue 3 - December 2025 , 27 p.</dc:relation>
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