Ruin probabilities in multivariate risk models with periodic common shock

DOI10.1080/03461238.2015.1094404zbMath1401.91119OpenAlexW2270616262MaRDI QIDQ4575458

Ionica Cojocaru

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1094404

zbMATH Keywords

heavy-tailed distributionsruin probabilitypiecewise deterministic Markov processesmultidimensional risk modelnon-homogeneous periodic Poisson process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Related Items (6)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model ⋮ Risk aggregation based on the Poisson INAR(1) process with periodic structure ⋮ Continuity inequalities for multidimensional renewal risk models ⋮ On the evaluation of risk models with bivariate integer-valued time series

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