Aggregate survival probability of a portfolio with dependent subportfolios.

DOI10.1016/S0167-6687(03)00131-8zbMath1066.91064MaRDI QIDQ1413410

Rohana S. Ambagaspitiya

Publication date: 16 November 2003

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

zbMATH Keywords

multivariate Gamma distribution

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Production theory, theory of the firm (91B38)

Related Items (6)

The Gerber-Shiu penalty functions for two classes of renewal risk processes ⋮ On a multi-dimensional risk model with regime switching ⋮ Ruin probabilities in multivariate risk models with periodic common shock ⋮ On a correlated aggregate claims model with thinning-dependence structure ⋮ Real options maximizing survival probability under incomplete markets ⋮ Survival probability for a two-dimensional risk model

Cites Work

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• Ruin probabilities for Erlang (2) risk processes
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims

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