𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Ruin Probabilities in Cox Risk Models with Two Dependent Classes of Business

✍ Scribed by Jun Yi Guo; Kam C. Yuen; Ming Zhou

Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2006
Tongue
English
Weight
154 KB
Volume
23
Category
Article
ISSN
1439-7617

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Upper bounds for ruin probabilities in t
Upper bounds for ruin probabilities in two dependent risk models under rates of interest
✍ Dingjun Yao; Rongming Wang πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 104 KB

## Abstract In this article, we consider two discrete‐time risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive moving‐average (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be i

Asymptotics for the ruin probabilities o
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 147 KB πŸ‘ 2 views

In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty