✦ LIBER ✦

Preservation of multivariate dependence under multivariate claim models

✍ Scribed by Taizhong Hu; Xiaoming Pan

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 99 KB
Volume: 25
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(99)00032-3

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✦ Synopsis

The paper considers the multivariate claim models in risk analysis, introduced by Wong (1997). It is shown that the supermodular dependence ordering and some notions of multivariate dependence are preserved by these models under some conditions on non-homogeneous pure birth processes which govern the arrival of claims.

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