Analysis of ruin measures for the classical compound Poisson risk model with dependence

DOI10.1080/03461230903211992zbMath1226.91024OpenAlexW2125669041MaRDI QIDQ3103206

Fouad Marri, Hélène Cossette, Étienne Marceau

Publication date: 26 November 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230903211992

Mathematics Subject Classification ID

Related Items (26)

On the compound Poisson risk model with dependence and a threshold dividend strategy ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ Moments of discounted aggregate claims with dependence based on Spearman copula ⋮ Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA ⋮ A note on discounted compound renewal sums under dependency ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ On the analysis of a general class of dependent risk processes ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ On two families of bivariate distributions with exponential marginals: aggregation and capital allocation ⋮ Some specific density functions of aggregated discounted claims with dependent risks ⋮ On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence ⋮ Capital allocation based on the tail covariance premium adjusted ⋮ Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes ⋮ On copula-based collective risk models: from elliptical copulas to vine copulas ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ A note on compound renewal risk models with dependence

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to copulas.
• Tolerance intervals for quantiles of bivariate risks and risk measurement
• On ruin for the Erlang \((n)\) risk process
• On the discrete-time compound renewal risk model with dependence
• Aspects of risk theory
• On the time to ruin for Erlang(2) risk processes.
• Stereology of extremes, bivariate models and computation
• The impact on ruin probabilities of the association structure among financial risks
• Stochastic frontier models with dependent error components
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On the modification of Rouche's theorem for the queueing theory problems

This page was built for publication: Analysis of ruin measures for the classical compound Poisson risk model with dependence