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Cites work
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- A Multivariate Exponential Distribution
- A New Class of Multivariate Phase Type Distributions
- A Reliability Bound for Systems of Maintained, Interdependent Components
- Association of Random Variables, with Applications
- Association of multivariate phase-type distributions, with applications to shock models.
- Association of probability measures on partially ordered spaces
- Comparison methods for stochastic models and risks
- Computational methods in risk theory: a matrix-algorithmic approach
- Inequalities: theory of majorization and its applications
- Monotone and associated Markov chains, with applications to reliability theory
- Multivariate Phase-Type Distributions
- On the dependence structure and bounds of correlated parallel queues and their applications to synchronized stochastic systems
- Preservation of association in multivariate shock and claim models
- Some results on ruin probabilities in a two-dimensional risk model.
- Stochastic inequalities on partially ordered spaces
- Weak Convergence of Stochastic Processes Defined on Semi-Infinite Time Intervals
Cited in
(58)- Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
- On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
- Multivariate matrix-exponential distributions
- Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
- A new class of marginally regular multivariate counting processes generated by the mixture of multivariate Poisson processes
- Preservation of multivariate dependence under multivariate claim models
- Analysis of a multivariate claim process
- Recursive methods for a multi-dimensional risk process with common shocks
- Modelling of marginally regular bivariate counting process and its application to shock model
- Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
- Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
- Bivariate regular variation among randomly weighted sums in general insurance
- Ruin probability for merged risk processes with correlated arrivals
- 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
- A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
- On the ruin probabilities of a bidimensional perturbed risk model
- CMPH: a multivariate phase-type aggregate loss distribution
- Characterisation of multivariate phase type distributions
- Risk processes with interest force in Markovian environment
- Optimal control of partially observable semi-Markovian failing systems: an analysis using a phase methodology
- Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
- The conditional Haezendonck-Goovaerts risk measure
- A state dependent reinsurance model
- Extreme behavior of multivariate phase-type distributions
- Asymptotic results on marginal expected shortfalls for dependent risks
- Bivariate lower and upper orthant value-at-risk
- On joint ruin probabilities of a two-dimensional risk model with constant interest rate
- Multivariate insurance models: an overview
- Ruin probabilities for a risk model with two classes of claims
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- Multivariate risk processes with interacting intensities
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Continuity inequalities for multidimensional renewal risk models
- Log-concavity of the extremes from Gumbel bivariate exponential distributions
- On some properties of a class of multivariate Erlang mixtures with insurance applications
- A bivariate risk model with mutual deficit coverage
- On a multivariate generalized Polya process without regularity property
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- A \(2\times 2\) random switching model and its dual risk model
- BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
- Recursions for multivariate compound phase variables
- Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
- Multirisks model and finite-time ruin probabilities
- Multivariate risk models under heavy-tailed risks
- 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
- Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
- A two-dimensional risk model with proportional reinsurance
- Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
- Ruin probabilities in multivariate risk models with periodic common shock
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