A time-series risk model with constant interest for dependent classes of business

DOI10.1016/J.INSMATHECO.2006.08.006zbMATH Open1119.91060OpenAlexW1981522966MaRDI QIDQ997080FDOQ997080

Authors: Wai Keung Li, Zhi-Qiang Zhang, Kam Chuen Yuen 

Publication date: 19 July 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.08.006

Recommendations

• Ultimate ruin probability for a time-series risk model with dependent classes of insurance business
• A discrete-time risk model with interaction between classes of business.
• The discrete-time risk model with correlated classes of business
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
• Discrete-time risk models on time series for count random variables

zbMATH Keywords

ruin probabilitymultivariate autoregressive modeladjustment coefficientLundberg-type inequalityACBVEnet-profit condition

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The discrete-time risk model with correlated classes of business
• A Continuous Bivariate Exponential Extension
• Ruin theory in the linear model
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• On the dependency of risks in the individual life model
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims
• The probability of ruin in a process with dependent increments
• A discrete-time risk model with interaction between classes of business.
• Ultimate ruin probability for a time-series risk model with dependent classes of insurance business
• Some problems in actuarial finance involving sums of dependent risks

Cited In (4)

• Ultimate ruin probability for a time-series risk model with dependent classes of insurance business
• Discrete-time risk models on time series for count random variables
• A discrete-time risk model with interaction between classes of business.
• A discrete-time risk model with Poisson ARCH claim-number process

This page was built for publication: A time-series risk model with constant interest for dependent classes of business

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997080)