Some results on ruin probabilities in a two-dimensional risk model.

DOI10.1016/S0167-6687(03)00115-XzbMath1055.91041OpenAlexW1998663529MaRDI QIDQ1413403

Hailiang Yang, Lianzeng Zhang, Wai Sum Chan

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00115-x

zbMATH Keywords

Phase-type distributionAdjustment coefficientAsymptotic good boundIntegral-differential equation

Mathematics Subject Classification ID

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Cites Work

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• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• The compound Poisson approximation for a portfolio of dependent risks
• The safest dependence structure among risks.
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