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Original Articles

On a risk model with dependence between interclaim arrivals and claim sizes

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Pages 265-285 | Published online: 18 Feb 2007

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Rosy Oh, Jae Youn Ahn & Woojoo Lee. (2021) On copula-based collective risk models: from elliptical copulas to vine copulas. Scandinavian Actuarial Journal 2021:1, pages 1-33.
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Matija Vidmar. (2018) Ruin under stochastic dependence between premium and claim arrivals. Scandinavian Actuarial Journal 2018:6, pages 505-513.
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Zhong Li, Kristina P. Sendova & Chen Yang. (2017) On a perturbed dual risk model with dependence between inter-gain times and gain sizes. Communications in Statistics - Theory and Methods 46:21, pages 10507-10517.
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Jie-Hua Xie & Wei Zou. (2017) On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy. Communications in Statistics - Theory and Methods 46:4, pages 1898-1915.
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Wuyuan Jiang & Zhaojun Yang. (2016) The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula. Scandinavian Actuarial Journal 2016:5, pages 385-397.
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Eric C.K. Cheung & Jae-Kyung Woo. (2016) On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes. Scandinavian Actuarial Journal 2016:1, pages 63-91.
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Zhong Li & Kristina P. Sendova. (2015) On a ruin model with both interclaim times and premiums depending on claim sizes. Scandinavian Actuarial Journal 2015:3, pages 245-265.
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David Landriault, Wing Yan Lee, Gordon E. Willmot & Jae-Kyung Woo. (2014) A note on deficit analysis in dependency models involving Coxian claim amounts. Scandinavian Actuarial Journal 2014:5, pages 405-423.
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E. S. Badila, O. J. Boxma & J. A. C. Resing. (2014) Queues and Risk Processes with Dependencies. Stochastic Models 30:3, pages 390-419.
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EricC. K. Cheung. (2012) A unifying approach to the analysis of business with random gains. Scandinavian Actuarial Journal 2012:3, pages 153-182.
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Zvetan G. Ignatov & Vladimir K. Kaishev. (2012) Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts. Stochastics 84:4, pages 461-485.
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Jae-Kyung Woo. (2012) A generalized penalty function for a class of discrete renewal processes. Scandinavian Actuarial Journal 2012:2, pages 130-152.
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Xiaodong Bai & Lixin Song. (2012) Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure. Communications in Statistics - Theory and Methods 41:10, pages 1721-1732.
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AlexandruV. Asimit & AndreiL. Badescu. (2010) Extremes on the discounted aggregate claims in a time dependent risk model. Scandinavian Actuarial Journal 2010:2, pages 93-104.
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Benjamin Avanzi. (2009) Strategies for Dividend Distribution: A Review. North American Actuarial Journal 13:2, pages 217-251.
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Qingwu Gao, Wen Li & Linmin Kan. Precise large deviations of aggregate claims in bidimensional risk model with dependence structures. Communications in Statistics - Theory and Methods 0:0, pages 1-14.
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Andrei L. Badescu & David Landriault. (2009) Applications of fluid flow matrix analytic methods in ruin theory —a reviewMéetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 103:2, pages 353-372.
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HHllne Cossette, Etienne Marceau & Itre Mtalai. (2018) Collective Risk Models with Hierarchical Archimedean Copulas. SSRN Electronic Journal.
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Dimitrina S. Dimitrova, Vladimir K. Kaishev & Shouqi Zhao. (2013) On the Evaluation of Finite-Time Ruin Probabilities in a Dependent Risk Model. SSRN Electronic Journal.
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