Multirisks model and finite-time ruin probabilities
From MaRDI portal
Publication:1419399
DOI10.1023/A:1026287204089zbMath1035.62109OpenAlexW1585105899MaRDI QIDQ1419399
Ibrahim Coulibaly, Philippe Picard, Claude Lefèvre
Publication date: 14 January 2004
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1026287204089
discrete-time modelmultiple risksnumerical evaluationconcordance orderprobabilities of ruinorthant dependencepolynomial structure
Related Items (18)
Finite-time ruin probabilities for discrete, possibly dependent, claim severities ⋮ On capital allocation for a risk measure derived from ruin theory ⋮ Supermodular comparison of time-to-ruin random vectors ⋮ Ruin probabilities in Cox risk models with two dependent classes of business ⋮ Ruin probabilities for a risk model with two classes of claims ⋮ Uncertain insurance risk process with multiple classes of claims ⋮ Finite-time ruin probability in the inhomogeneous claim case ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ An optimization approach to adaptive multi-dimensional capital management ⋮ Another look at the Picard--Lefèvre formula for finite-time ruin probabilities ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ A nonhomogeneous risk model for insurance ⋮ Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims ⋮ Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed ⋮ Problèmes de ruine en théorie du risque à temps discret avec horizon fini
This page was built for publication: Multirisks model and finite-time ruin probabilities
