The discrete-time risk model with correlated classes of business is examined. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjustment coefficient is also studied. Numerical examples are presented.
✦ LIBER ✦
A review of discrete-time risk models
✍ Scribed by Shuanming Li; Yi Lu; José Garrido
- Publisher
- Springer Milan
- Year
- 2009
- Tongue
- English
- Weight
- 233 KB
- Volume
- 103
- Category
- Article
- ISSN
- 1578-7303
No coin nor oath required. For personal study only.
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