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- W4312313085 abstract "Ruin theory plays a crucial role in risk measurement and risk regulation. Bankruptcy claim is a major focus of ruin theory and the distribution of the aggregate amount of claim can well describe the risk of insurance portfolio. According to the distribution characteristics, we can adopt such means as capital injection and premium re-adjustment to regulate risk. In the classical risk model, the priorities are given to four ruin-related variables: the time of ruin, the aggregate claim amount up to ruin, the total number of claims up to ruin and the deficit at ruin. In this paper, we mainly consider the joint probability density function of the aggregate claim amount up to ruin with other ruin related quantities. The explicit expressions are given for the joint densities when the individual claim follows exponential distribution. In addition, when the individual claim follows a particular decomposition form, the joint density can also be obtained in a decomposition form." @default.
- W4312313085 created "2023-01-04" @default.
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- W4312313085 date "2019-07-01" @default.
- W4312313085 modified "2023-10-17" @default.
- W4312313085 title "The joint distribution of ruin related quantities in the classical risk model" @default.
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- W4312313085 doi "https://doi.org/10.3724/sp.j.1249.2019.04419" @default.
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