[图书][B] Actuarial theory for dependent risks: measures, orders and models
The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …
interest amongst actuaries in the modelling of dependent risks. For efficient risk …
On a risk model with dependence between interclaim arrivals and claim sizes
M Boudreault, H Cossette, D Landriault… - Scandinavian …, 2006 - Taylor & Francis
We consider an extension to the classical compound Poisson risk model for which the
increments of the aggregate claim amount process are independent. In Albrecher and …
increments of the aggregate claim amount process are independent. In Albrecher and …
Stochastic orders in reliability and risk
In summer of 2010, the first author (HL) visited the second author (XL) at Lanzhou University,
China, and chaired the dissertation defense for XL's two graduating doctoral students …
China, and chaired the dissertation defense for XL's two graduating doctoral students …
On a correlated aggregate claims model with Poisson and Erlang risk processes
In this paper we consider a risk model with two dependent classes of insurance business. In
this model the two claim number processes are correlated. Claim occurrences of both …
this model the two claim number processes are correlated. Claim occurrences of both …
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
L Bai, J Cai, M Zhou - Insurance: Mathematics and Economics, 2013 - Elsevier
Assume that an insurer has two dependent lines of business. The reserves of the two lines of
business are modeled by a two-dimensional compound Poisson risk process or a common …
business are modeled by a two-dimensional compound Poisson risk process or a common …
[HTML][HTML] Approximation of the tail probability of randomly weighted sums and applications
Y Zhang, X Shen, C Weng - Stochastic processes and their applications, 2009 - Elsevier
Consider the problem of approximating the tail probability of randomly weighted sums∑ i=
1nΘiXi and their maxima, where {Xi, i≥ 1} is a sequence of identically distributed but not …
1nΘiXi and their maxima, where {Xi, i≥ 1} is a sequence of identically distributed but not …
On the first time of ruin in the bivariate compound Poisson model
This paper considers a bivariate compound Poisson model for a book of two dependent
classes of insurance business. We focus on the ruin probability that at least one class of …
classes of insurance business. We focus on the ruin probability that at least one class of …
On the ruin probabilities of a bidimensional perturbed risk model
J Li, Z Liu, Q Tang - Insurance: Mathematics and Economics, 2007 - Elsevier
We follow some recent works to study the ruin probabilities of a bidimensional perturbed
insurance risk model. For the case of light-tailed claims, using the martingale technique we …
insurance risk model. For the case of light-tailed claims, using the martingale technique we …
Ruin probabilities in the compound Markov binomial model
H Cossette, D Landriault, É Marceau - Scandinavian Actuarial …, 2003 - Taylor & Francis
In this paper, we present a compound Markov binomial model which is an extension of the
compound binomial model proposed by Gerber (1988a, b) and further examined by Shiu …
compound binomial model proposed by Gerber (1988a, b) and further examined by Shiu …
Multivariate insurance models: an overview
S Anastasiadis, S Chukova - Insurance: Mathematics and Economics, 2012 - Elsevier
Multivariate insurance models: An overview - ScienceDirect Skip to main contentSkip to article
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