Abstract
We consider a ruin model with random income and dependence between claim sizes and claim intervals. In this paper, we extend the determinate premium income into a compound Poisson process and assume that the distribution of the time between two claim occurrences depends on the previous claim size. Given the premium size is exponentially distributed, the (Gerber-Shiu) discounted penalty functions is derived. Finally, we consider a similar model.
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Supported by the National Natural Science Foundation of China (No.11426051), National Social Science Fund of China (13BTJ008), Scientic and Technological Research Program of Chongqing Municipal Education Commission (No.KJ1400521, No.KJ130658) and the Fundamental Research Funds for the Central Universities (No. CDJXS10100018)
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Hao, Yy., Yang, H. A ruin model with compound poisson income and dependence between claim sizes and claim intervals. Acta Math. Appl. Sin. Engl. Ser. 31, 445–452 (2015). https://doi.org/10.1007/s10255-015-0478-0
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DOI: https://doi.org/10.1007/s10255-015-0478-0