| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076760 | Insurance: Mathematics and Economics | 2012 | 8 Pages |
Abstract
⺠A Sparre Andersen risk process with time-dependent claim amounts is examined. ⺠A particular mathematical structure for the joint distribution is considered. ⺠A generalized Gerber-Shiu function in the Coxian model is explicitly identified. ⺠An application is given in case of a mixed Erlang type of claim amount. ⺠Various examples of the model involving bivariate mixed Erlang are provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gordon E. Willmot, Jae-Kyung Woo,