On the dependency of risks in the individual life model
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Publication:1381152
DOI10.1016/S0167-6687(96)00015-7zbMath0931.62089OpenAlexW1966580409MaRDI QIDQ1381152
Publication date: 20 February 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(96)00015-7
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Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ Supermodular comparison of time-to-ruin random vectors ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ Ordered random vectors and equality in distribution ⋮ Stop-loss order for portfolios of dependent risks ⋮ Validation of positive expectation dependence ⋮ Approximations for stop-loss reinsurance premiums ⋮ Systemic risk: conditional distortion risk measures ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ Compound Poisson and signed compound Poisson approximations to the Markov binomial law ⋮ Linear orderings of the scale mixtures of the multivariate skew-normal distribution ⋮ Optimal allocation of a coherent system with statistical dependent subsystems ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals. ⋮ Measuring the impact of dependence between claims occurrences. ⋮ On two dependent individual risk models. ⋮ Ordering ruin probabilities for dependent claim streams. ⋮ On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies ⋮ Some results on ruin probabilities in a two-dimensional risk model. ⋮ The hurdle-race problem. ⋮ Multivariate insurance models: an overview ⋮ The safest dependence structure among risks. ⋮ Stochastic bounds on sums of dependent risks ⋮ Correlation order, merging and diversification ⋮ Comparison results for exchangeable credit risk portfolios ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Comonotonic convex upper bound and majorization ⋮ Upper comonotonicity and convex upper bounds for sums of random variables ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Copula conditional tail expectation for multivariate financial risks ⋮ Stochastic analysis of duplicates in life insurance portfolios ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ On risk dependence and mrl ordering ⋮ Upper and lower bounds for sums of random variables ⋮ Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors ⋮ Claim dependence with common effects in credibility models ⋮ Some limiting properties of the bounds of the present value function of a life insurance portfolio ⋮ A time-series risk model with constant interest for dependent classes of business ⋮ Validation of association ⋮ Inequalities for the De Pril approximation to the distribution of the number of policies with claims ⋮ Log-concavity of the extremes from Gumbel bivariate exponential distributions ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ Impact of dependence among multiple claims in a single loss ⋮ Joint probability generating function for a vector of arbitrary indicator variables ⋮ Stop-loss premiums under dependence ⋮ On dependence of risks and stop-loss premiums ⋮ On transform orders for largest claim amounts
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