Ruin probabilities in multivariate risk models with periodic common shock
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Cites work
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- scientific article; zbMATH DE number 1122116 (Why is no real title available?)
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- A two-dimensional ruin problem on the positive quadrant
- Aggregate survival probability of a portfolio with dependent subportfolios.
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Conditional law of risk processes given that ruin occurs
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- Doubly periodic non-homogeneous Poisson models for hurricane data
- Martingales and insurance risk
- On A Surplus Process Under A Periodic Environment
- On double periodic non-homogeneous Poisson processes
- On the distribution of a sum of correlated aggregate claims
- On the distributions of two classes of correlated aggregate claims
- On the first time of ruin in the bivariate compound Poisson model
- On the ruin probabilities of a bidimensional perturbed risk model
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Probability Distributions in Periodic Random Environment and Their Applications
- Recursive methods for a multi-dimensional risk process with common shocks
- Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
- Ruin probabilities
- Ruin probabilities of a bidimensional risk model with investment
- Some results on ruin probabilities in a two-dimensional risk model.
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Survival probability for a two-dimensional risk model
- The discrete-time risk model with correlated classes of business
Cited in
(13)- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
- Risk aggregation based on the Poisson INAR(1) process with periodic structure
- Simultaneous ruin probability for multivariate Gaussian risk model
- On multivariate modifications of Cramer-Lundberg risk model with constant intensities
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- On the evaluation of risk models with bivariate integer-valued time series
- Recursive methods for a multi-dimensional risk process with common shocks
- Continuity inequalities for multidimensional renewal risk models
- Common shock models for claim arrays
- Multivariate risk model of phase type
- Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
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