Multivariate risk processes with interacting intensities

DOI10.1239/AAP/1214950217MaRDI QIDQ3516403zbMATH OpenOpenAlexFDO

Authors Nicole Bäuerle, Rudolf Grübel

Publication date 5 August 2008

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1214950217

zbMATH Keywords

Markov chaincounting processPoisson processfluid limiturn modelprobability of ruinfunctional law of large numbersrisk reserve processLundberg coefficientCramér asymptoticmutidimensional birth process

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Special processes (60K99)

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• Asymptotic ruin probabilities for risk processes with dependent increments.
• Comparison methods for stochastic models and risks
• Dependence properties and comparison results for Lévy processes
• Financial Modelling with Jump Processes
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Modeling and Generating Dependent Risk Processes for IRM and DFA
• Multivariate Counting Processes: Copulas and Beyond
• Statistics for bivariate mixed Poisson processes at the sample of obligatory car insurance
• Stochastic ordering and dependence in applied probability
• Stochastic-Process Limits

Cited in

(12)

• Preservation of multivariate dependence under multivariate claim models
• Ruin probability for merged risk processes with correlated arrivals
• A multivariate aggregate loss model
• Multivariate Counting Processes: Copulas and Beyond
• A risk model based on Markov chains with marked transitions
• Multivariate insurance models: an overview
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• Robust optimal investment and reinsurance problems with learning
• On multivariate modifications of Cramer-Lundberg risk model with constant intensities
• Multivariate claim processes with rough intensities: properties and estimation
• Recursive methods for a multi-dimensional risk process with common shocks
• Multidimensional insurance model with risk-reducing treaty

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