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On a risk model with random incomes and dependence between claim sizes and claim intervals. (English) Zbl 1287.91097

The authors consider a risk model with random incomes and dependence between claim size and claim intervals, where the time between two claims occurrences determines the distributions of the next claim size and individual premium size. The main aim of the paper is to analyze the expected discounted penalty function of the risk model with random incomes and dependence between claim size and claim intervals.

MSC:

91B30 Risk theory, insurance (MSC2010)
60K10 Applications of renewal theory (reliability, demand theory, etc.)
60J75 Jump processes (MSC2010)
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References:

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