Recursive methods for a multi-dimensional risk process with common shocks
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common shockdeficit at ruinGerber-Shiu expected discounted penalty functionmulti-dimensional risk processoptimal capital allocationrecursive methodssurvival probability
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Cites work
- A two-dimensional risk model with proportional reinsurance
- A two-dimensional ruin problem on the positive quadrant
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- First passage times of general sequences of random vectors: A large deviations approach
- Hitting probabilities and large deviations
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Multivariate risk model of phase type
- On a risk model with dependence between interclaim arrivals and claim sizes
- On the class of Erlang mixtures with risk theoretic applications
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- On the first time of ruin in the bivariate compound Poisson model
- On the ruin probabilities of a bidimensional perturbed risk model
- On the Time Value of Ruin
- Risk processes with interest force in Markovian environment
- Ruin probabilities
- Ruin probabilities based at claim instants for some non-Poisson claim processes
- Some results on ruin probabilities in a two-dimensional risk model.
- Survival probability for a two-dimensional risk model
Cited in
(26)- Stochastic comparison of generalized combined risk processes
- Survival probabilities in bivariate risk models, with application to reinsurance
- On the evaluation of risk models with bivariate integer-valued time series
- A \(2\times 2\) random switching model and its dual risk model
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times
- A state dependent reinsurance model
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- A two-dimensional risk model with proportional reinsurance
- Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
- A survey of some recent results on risk theory
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- Ruin probabilities in multivariate risk models with periodic common shock
- A bivariate risk model with mutual deficit coverage
- Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
- Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
- Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
- Finite-time expected present value of operating costs until ruin in a two-dimensional risk model with periodic observation
- Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
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