Ruin probabilities in classical risk models with gamma claims
Author:
Affiliation:
1. Institute for Financial and Actuarial Mathematics, University of Liverpool, Liverpool, UK.
2. School of Operations Research and Information Engineering, Cornell University, Ithaca, NY, USA.
Funder
Army Research Office
Seventh Framework Programme, Marie Curie, IRSES
ARO MURI
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2017.1402817
Reference45 articles.
1. A ruin model with dependence between claim sizes and claim intervals
2. On the discounted penalty function in a Markov-dependent risk model
3. An algebraic operator approach to the analysis of Gerber–Shiu functions
4. Asymptotic results for renewal risk models with risky investments
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