Dependent Risk Models with Bivariate Phase-Type Distributions
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Cites work
- A Bivariate Extension of the Exponential Distribution
- A Multivariate Exponential Distribution
- A New Class of Multivariate Phase Type Distributions
- A versatile Markovian point process
- ALGORITHMS FOR RETURN PROBABILITIES FOR STOCHASTIC FLUID FLOWS
- Analysis of a threshold dividend strategy for a MAP risk model
- Computational methods of linear algebra
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- Efficient algorithms for transient analysis of stochastic fluid flow models
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- Exponential Behavior in the Presence of Dependence in Risk Theory
- Matrix Riccati equations in control and systems theory
- Multivariate Phase-Type Distributions
- Nonsymmetric algebraic Riccati equations and Wiener-Hopf factorization for M-matrices
- On a general class of renewal risk process: analysis of the Gerber-Shiu function
- On a risk model with dependence between interclaim arrivals and claim sizes
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- On the discounted penalty function in the renewal risk model with general interclaim times
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- On the Time Value of Ruin
- Passage times in fluid models with application to risk processes
- Risk processes analyzed as fluid queues
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
- Transient Analysis of Fluid Models via Elementary Level-Crossing Arguments
Cited in
(61)- Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
- On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
- Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(\(n\)) claims
- Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
- Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
- Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model
- Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
- Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure
- Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- A note on compound renewal risk models with dependence
- Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
- On a class of dependent Sparre Andersen risk models and a bailout application
- Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
- Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
- A note on discounted compound renewal sums under dependency
- On the analysis of a general class of dependent risk processes
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
- Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
- On orderings and bounds in a generalized Sparre Andersen risk model
- A generalized penalty function for a class of discrete renewal processes
- A unifying approach to the analysis of business with random gains
- Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Ruin probabilities in models with a Markov chain dependence structure
- Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
- Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Some remarks on delayed renewal risk models
- Parisian types of ruin probabilities for a class of dependent risk-reserve processes
- On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
- A note on deficit analysis in dependency models involving Coxian claim amounts
- On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
- Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Moderate deviations for sums of dependent claims in a size-dependent renewal risk model
- Stochastic decompositions in bivariate risk and queueing models with mutual assistance
- Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier
- Analysis of a generalized penalty function in a semi-Markovian risk model
- Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
- Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
- Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
- Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
- Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
- A Review on Phase-type Distributions and their Use in Risk Theory
- Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
- Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- A Breiman's theorem for a conditional dependent random vector and its applications to risk theory
- Moderate deviations for multidimensional aggregate claims with arbitrary dependence between claim sizes and waiting times
- On a two-dimensional risk model with time-dependent claim sizes and risky investments
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
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