A discrete-time risk model with interaction between classes of business.

DOI10.1016/S0167-6687(03)00148-3zbMath1074.91031MaRDI QIDQ1413342

Xueyuan Wu, Kam-Chuen Yuen

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Ruin probabilitySurvival probabilityAdjustment coefficientBy-claimCorrelated aggregate claimsInteraction modelMain claim

Mathematics Subject Classification ID

Related Items (14)

On Two General Classes of Discrete Bivariate Distributions ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ On a correlated aggregate claims model with thinning-dependence structure ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ Discrete risk model revisited ⋮ Multivariate insurance models: an overview ⋮ Cox risk model with correlated classes of business ⋮ Optimal reinsurance in a compound Poisson risk model with dependence ⋮ A time-series risk model with constant interest for dependent classes of business ⋮ Survival probability for a two-dimensional risk model ⋮ Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure ⋮ A new general class of discrete bivariate distributions constructed by using the likelihood ratio ⋮ Bayesian and non-Bayesian estimation of four-parameter of bivariate discrete inverse Weibull distribution with applications to model failure times, football and biological data

Cites Work

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• Recursive calculation of finite-time ruin probabilities
• The discrete-time risk model with correlated classes of business
• Families of Multivariate Distributions
• A Multivariate Exponential Distribution

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