Ruin probabilities in multivariate risk models with periodic common shock

DOI10.1080/03461238.2015.1094404zbMATH Open1401.91119OpenAlexW2270616262MaRDI QIDQ4575458FDOQ4575458

Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2015.1094404

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ruin probability heavy-tailed distributions piecewise deterministic Markov processes multidimensional risk model non-homogeneous periodic Poisson process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Cites Work

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On A Surplus Process Under A Periodic Environment

Cited In (13)

Risk aggregation based on the Poisson INAR(1) process with periodic structure
Recursive methods for a multi-dimensional risk process with common shocks
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
On the evaluation of risk models with bivariate integer-valued time series
Simultaneous ruin probability for multivariate Gaussian risk model
On multivariate modifications of Cramer-Lundberg risk model with constant intensities
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Multivariate risk model of phase type
Continuity inequalities for multidimensional renewal risk models
Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
Common shock models for claim arrays

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