Recursive methods for a multi-dimensional risk process with common shocks

DOI10.1016/J.INSMATHECO.2011.10.007zbMath1235.91090OpenAlexW2062439709MaRDI QIDQ2427815

Andrei L. Badescu, Lan Gong, Eric C. K. Cheung

Publication date: 18 April 2012

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

Full work available at URL: http://hdl.handle.net/10722/144050

zbMATH Keywords

survival probabilitydeficit at ruinoptimal capital allocationcommon shockrecursive methodsGerber-Shiu expected discounted penalty functionmulti-dimensional risk process

Mathematics Subject Classification ID

Related Items (23)

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