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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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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20200018810">
<namePart>Zhu, Wei </namePart>
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<dateIssued encoding="marc">2026</dateIssued>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Wei Zhu</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603069">
<topic>Probabilidad de ruina</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080557799">
<topic>Dependencia</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<topic>Tarificación</topic>
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<topic>Prima de riesgo</topic>
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<classification authority="">6</classification>
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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>
<part>
<text>15/12/2025 Volume 15 Issue 3 - December 2025 , 27 p.</text>
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