Multivariate risk model of phase type

DOI10.1016/J.INSMATHECO.2004.11.004zbMATH Open1122.60049OpenAlexW1998579295MaRDI QIDQ2485539FDOQ2485539

Authors: Jun Cai, Haijun Li 

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.11.004

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zbMATH Keywords

Marshall-Olkin distributionRuin probabilityAssociationConvex comparisonMultivariate phase type distributionMultivariate risk modelSupermodular comparison

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inequalities; stochastic orderings (60E15)

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Cited In (58)

• A new class of marginally regular multivariate counting processes generated by the mixture of multivariate Poisson processes
• Ruin probability for merged risk processes with correlated arrivals
• A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
• 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
• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• Multivariate matrix-exponential distributions
• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
• Preservation of multivariate dependence under multivariate claim models
• Recursive methods for a multi-dimensional risk process with common shocks
• Analysis of a multivariate claim process
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Modelling of marginally regular bivariate counting process and its application to shock model
• Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
• Bivariate regular variation among randomly weighted sums in general insurance
• Fitting bivariate losses with phase-type distributions
• Association of multivariate phase-type distributions, with applications to shock models.
• Convolutions of multivariate phase-type distributions
• Multivariate subexponential distributions and their applications
• A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
• On the ruin probabilities of a bidimensional perturbed risk model
• Optimal control of partially observable semi-Markovian failing systems: an analysis using a phase methodology
• CMPH: a multivariate phase-type aggregate loss distribution
• Risk processes with interest force in Markovian environment
• Characterisation of multivariate phase type distributions
• Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
• A state dependent reinsurance model
• The conditional Haezendonck-Goovaerts risk measure
• Extreme behavior of multivariate phase-type distributions
• Asymptotic results on marginal expected shortfalls for dependent risks
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• Bivariate lower and upper orthant value-at-risk
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• A \(2\times 2\) random switching model and its dual risk model
• Recursions for multivariate compound phase variables
• Multirisks model and finite-time ruin probabilities
• Conditional tail expectations for multivariate phase-type distributions
• On the use of the multivariate stochastic order in risk theory
• On some properties of bivariate exponential distributions
• A two-dimensional risk model with proportional reinsurance
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
• Ruin probabilities in multivariate risk models with periodic common shock
• Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

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