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A Ruin Model with Compound Poisson Income and Dependence Between Claim Sizes and Claim Intervals
Author(s): 
Pages: 445-452
Year: Issue:  2
Journal: Acta Mathematicae Applicatae Sinica

Keyword:  discounted penalty functionlaplace transformruin modeldependence;
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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