Dependence properties and bounds for ruin probabilities in multivariate compound risk models

DOI10.1016/J.JMVA.2006.06.004zbMATH Open1280.91090OpenAlexW2058624743MaRDI QIDQ2370525FDOQ2370525

Jun Cai, Haijun Li

Publication date: 26 June 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.06.004

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zbMATH Keywords

associationruin probabilityMarshall-Olkin distributionmultivariate phase-type distributionmultivariate risk modelsupermodular comparison

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

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• Some results on ruin probabilities in a two-dimensional risk model.
• Conditional tail expectations for multivariate phase-type distributions
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• On the dependence structure and bounds of correlated parallel queues and their applications to synchronized stochastic systems

Cited In (39)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
• Recursive methods for a multi-dimensional risk process with common shocks
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Ruin probability for merged risk processes with correlated arrivals
• Bivariate regular variation among randomly weighted sums in general insurance
• On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
• A Two-Dimensional Risk Model with Proportional Reinsurance
• Survival probabilities in bivariate risk models, with application to reinsurance
• Bidimensional discrete-time risk models based on bivariate claim count time series
• Stochastic Comparisons of Symmetric Supermodular Functions of Heterogeneous Random Vectors
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• An Approximation Model of the Collective Risk Model with INAR(1) Claim Process
• An optimization approach to adaptive multi-dimensional capital management
• On a capital allocation by minimization of some risk indicators
• Ordering ruin probabilities for dependent claim streams.
• Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
• A state dependent reinsurance model
• Bivariate lower and upper orthant value-at-risk
• Simultaneous ruin probability for multivariate Gaussian risk model
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
• Multivariate risk model of phase type
• Continuity inequalities for multidimensional renewal risk models
• Moment and polynomial bounds for ruin-related quantities in risk theory
• On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences
• A bivariate risk model with mutual deficit coverage
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• Ruin estimation in multivariate models with Clayton dependence structure
• Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
• Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
• Multivariate risk models under heavy-tailed risks
• Impact of dependence on some multivariate risk indicators
• On the use of the multivariate stochastic order in risk theory
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Explicit ruin formulas for models with dependence among risks
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
• Ruin probabilities in multivariate risk models with periodic common shock
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

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