On the first time of ruin in the bivariate compound Poisson model

DOI10.1016/j.insmatheco.2005.08.011zbMath1095.62120OpenAlexW1978360061MaRDI QIDQ2492175

Xueyuan Wu, Kam-Chuen Yuen, Jun-Yi Guo

Publication date: 9 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.08.011

zbMATH Keywords

compound Poissonstochastic orderruin probabilitysurvival probabilitycompound binomialassociated variables

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites Work

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• On a correlated aggregate claims model with thinning-dependence structure
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• Ordering ruin probabilities for dependent claim streams.
• The discrete-time risk model with correlated classes of business
• Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
• Supermodular Order and Lundberg Exponents
• Association of Random Variables, with Applications

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