Multivariate risk model of phase type

DOI10.1016/J.INSMATHECO.2004.11.004zbMath1122.60049OpenAlexW1998579295MaRDI QIDQ2485539

Haijun Li, Jun Cai

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.11.004

zbMATH Keywords

Marshall-Olkin distributionRuin probabilityAssociationConvex comparisonMultivariate phase type distributionMultivariate risk modelSupermodular comparison

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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