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

DOI10.1016/j.insmatheco.2006.08.006zbMath1119.91060OpenAlexW1981522966MaRDI QIDQ997080

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

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 probabilityadjustment coefficientmultivariate autoregressive modelLundberg-type inequalityACBVEnet-profit condition

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

A discrete-time risk model with Poisson ARCH claim-number process ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The probability of ruin in a process with dependent increments
• On the distribution of a sum of correlated aggregate claims
• On the distributions of two classes of correlated aggregate claims
• On the dependency of risks in the individual life model
• A discrete-time risk model with interaction between classes of business.
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• The discrete-time risk model with correlated classes of business
• Ruin theory in the linear model
• A Continuous Bivariate Exponential Extension
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Some problems in actuarial finance involving sums of dependent risks