On a correlated aggregate claims model with thinning-dependence structure
From MaRDI portal
Publication:882872
DOI10.1016/j.insmatheco.2005.04.004zbMath1120.62095OpenAlexW1964683726MaRDI QIDQ882872
Publication date: 24 May 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.04.004
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (28)
The dependence of assets and default threshold with thinning-dependence structure ⋮ Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance ⋮ On the improved thinning risk model under a periodic dividend barrier strategy ⋮ On a multi-dimensional risk model with regime switching ⋮ Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance ⋮ Core of the reinsurance market with dependent risks ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ Optimal dynamic reinsurance with dependent risks: variance premium principle ⋮ Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ Optimal proportional reinsurance under dependent risks ⋮ Optimal reinsurance-investment problem with dependent risks based on Legendre transform ⋮ Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk ⋮ Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model ⋮ The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim ⋮ Multivariate insurance models: an overview ⋮ Simple risk measure calculations for sums of positive random variables ⋮ On a reduced form credit risk model with common shock and regime switching ⋮ On multivariate modifications of Cramer–Lundberg risk model with constant intensities ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Optimal proportional reinsurance with common shock dependence ⋮ On the first time of ruin in the bivariate compound Poisson model ⋮ Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting ⋮ Cox risk model with correlated classes of business ⋮ Optimal reinsurance in a compound Poisson risk model with dependence ⋮ On the ruin probabilities of a bidimensional perturbed risk model ⋮ Survival probability for a two-dimensional risk model ⋮ Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Cites Work
- Aspects of risk theory
- On the distribution of a sum of correlated aggregate claims
- On the distributions of two classes of correlated aggregate claims
- A discrete-time risk model with interaction between classes of business.
- On a correlated aggregate claims model with Poisson and Erlang risk processes.
- Aggregate survival probability of a portfolio with dependent subportfolios.
- The discrete-time risk model with correlated classes of business
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: On a correlated aggregate claims model with thinning-dependence structure
