Multivariate risk processes with interacting intensities

DOI10.1239/AAP/1214950217zbMATH Open1152.60058OpenAlexW1980343489MaRDI QIDQ3516403FDOQ3516403

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

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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)

Cites Work

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• Statistics for bivariate mixed Poisson processes at the sample of obligatory car insurance

Cited In (12)

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

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