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

DOI10.1016/J.INSMATHECO.2006.08.006MaRDI QIDQ997080zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ruin probabilitymultivariate autoregressive modeladjustment coefficientLundberg-type inequalityACBVEnet-profit condition

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 5866275 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• A Continuous Bivariate Exponential Extension
• A discrete-time risk model with interaction between classes of business.
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On the dependency of risks in the individual life model
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims
• Ruin theory in the linear model
• Some problems in actuarial finance involving sums of dependent risks
• The discrete-time risk model with correlated classes of business
• The probability of ruin in a process with dependent increments
• Ultimate ruin probability for a time-series risk model with dependent classes of insurance business

Cited in

(4)

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

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