Discrete-time risk processes with after-effects and association

DOI10.1080/15326340903517105zbMATH Open1194.60048OpenAlexW2091820102MaRDI QIDQ3562371FDOQ3562371

Authors: George Zaphiropoulos, Michael A. Zazanis 

Publication date: 21 May 2010

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340903517105

Recommendations

• scientific article; zbMATH DE number 7529514
• Ruin problems for correlated discrete risk models
• The impact on ruin probabilities of the association structure among financial risks
• Study on the discrete-time model of a correlated claims risk model
• Ruin problems for the discrete time insurance risk model with the dependent claim amount

zbMATH Keywords

diffusion approximationinvariance principlerisk processesassociated random valuesclaims with after-effects

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

Cites Work

• An Introduction to the Theory of Point Processes
• Association of Random Variables, with Applications
• Comparison methods for stochastic models and risks
• Normal fluctuations and the FKG inequalities
• Aspects of risk theory
• Correlation inequalities on some partially ordered sets
• An invariance principle for certain dependent sequences
• A note on the strong law of large numbers for positively dependent random variables
• Diffusion approximations in collective risk theory
• Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$
• Stochastic ordering and dependence in applied probability
• A class of approximations of ruin probabilities

Cited In (1)

• Analysis of a multivariate claim process

This page was built for publication: Discrete-time risk processes with after-effects and association

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3562371)