On a correlated aggregate claims model with thinning-dependence structure
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Publication:882872
DOI10.1016/J.INSMATHECO.2005.04.004zbMATH Open1120.62095OpenAlexW1964683726MaRDI QIDQ882872FDOQ882872
Authors: Guojing Wang, Kam Chuen Yuen 
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
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Cited In (36)
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Optimal proportional reinsurance under dependent risks
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Cox risk model with correlated classes of business
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
- On the distributions of two classes of correlated aggregate claims
- Simple risk measure calculations for sums of positive random variables
- Pricing CDS index tranches under thinning-dependence structure with regime switching
- On the positive correlation property in competitive insurance markets
- Ruin probability in a multi-dimensional dependent risk model of a variable ruin limit under thinning process
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Analysis of an insurance risk model with thinning dependence and common shock
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- On the ruin probabilities of a bidimensional perturbed risk model
- The dependence of assets and default threshold with thinning-dependence structure
- On the improved thinning risk model under a periodic dividend barrier strategy
- The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- Core of the reinsurance market with dependent risks
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- On a multi-dimensional risk model with regime switching
- On a reduced form credit risk model with common shock and regime switching
- Multivariate insurance models: an overview
- On multivariate modifications of Cramer-Lundberg risk model with constant intensities
- Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
- Title not available (Why is that?)
- Survival probability for a two-dimensional risk model
- Aggregate claim estimation using bivariate hidden Markov model
- On the first time of ruin in the bivariate compound Poisson model
- Optimal proportional reinsurance with common shock dependence
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Optimal reinsurance in a compound Poisson risk model with dependence
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