scientific article; zbMATH DE number 7529514

zbMATH Open1492.91082MaRDI QIDQ5077801FDOQ5077801

Authors: Stanisław Heilpern 

Publication date: 20 May 2022

Full work available at URL: https://ord.pwr.edu.pl/Issues/2010/vol20/p162

Title of this publication is not available (Why is that?)

Recommendations

• Ruin probability for discrete risk processes
• Approximation for the ruin probabilities in a discrete time risk model with dependent risks
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Probabilité de ruine éventuelle dans un modèle de risque à temps discret
• The probability of ruin in a process with dependent increments
• Finite-time ruin probability of a compound dependent discrete-time risk model
• On the ruin probability for the dependent risk model
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• Bounds for the Ruin Probability of a Discrete-Time Risk Process
• Approximations of the ruin probability in a discrete time risk model

zbMATH Keywords

copulaMarkov chaindependencerisk processprobability of ruin

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) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Risk models (general) (91B05)

Cites Work

• An introduction to copulas. Properties and applications
• Bivariate Survival Models Induced by Frailties
• Understanding Relationships Using Copulas
• Ruin Probabilities in the Compound Markov Binomial Model
• Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model

Cited In (13)

• Ordering ruin probabilities for dependent claim streams.
• Asymptotic ruin probabilities for risk processes with dependent increments.
• Discrete-time risk processes with after-effects and association
• Ultimate ruin probability for a time-series risk model with dependent classes of insurance business
• A class of ruin probability model with dependent structure
• The probability of ruin in a process with dependent increments
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• Ruin probabilities in models with a Markov chain dependence structure
• Ruin probabilities for Bayesian exchangeable claims processes
• Lundberg parameters for non standard risk processes
• Multirisks model and finite-time ruin probabilities
• Modeling and Generating Dependent Risk Processes for IRM and DFA
• On the evaluation of finite-time ruin probabilities in a dependent risk model

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5077801)