Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
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Publication:340114
DOI10.1007/s11009-015-9448-5zbMath1349.91141OpenAlexW1886569471MaRDI QIDQ340114
Publication date: 11 November 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-015-9448-5
Related Items (5)
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance ⋮ A discrete-time risk model with Poisson ARCH claim-number process ⋮ Modeling the effect of spending on cyber security by using surplus process ⋮ On minimizing the ultimate ruin probability of an insurer by reinsurance ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
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