✦ LIBER ✦

The discrete-time risk model with correlated classes of business

✍ Scribed by Hélène Cossette; Etienne Marceau

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 127 KB
Volume: 26
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(99)00057-8

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✦ Synopsis

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.

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