A discrete-time risk model with interaction between classes of business

Insurance: Mathematics and Economics

Volumn 33, Issue 1, 2003, Pages 117-133

  Wu, Xueyuan ^a   Yuen, Kam C ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Adjustment coefficient; By claim; Correlated aggregate claims; Interaction model; Main claim; Ruin probability; Survival probability

Indexed keywords

EID: 0141425635     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(03)00148-3     Document Type: Article

References (15)

1. Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A., Nesbitt, C.J., 1997. Actuarial Mathematics. Society of Actuaries, Schaumburg, IL.
2. Cossette H. Marceau E. The discrete-time risk model with correlated classes of business Insurance: Mathematics and Economics 26 2000 133-149
3. De Vylder F. Goovaerts M.J. Recursion calculation of finite-time ruin probabilities Insurance: Mathematics and Economics 7 1988 1-8
4. Dickson D.C.M. Waters H. Recursion calculation of survival probabilities ASTIN Bulletin 21 1991 199-221
5. Gerber, H.U., 1979. An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation, University of Pennsylvania, Philadelphia.
6. Hesselager O. Recursions for certain bivariate counting distributions and their compound distributions ASTIN Bulletin 26 1996 35-52
7. Klugman, S.A., Panjer, H.H., Willmot, G.E., 1998. Loss Models: From Data to Decisions. Wiley, New York.
8. Kocherlakota, S., Kocherlakota, K., 1992. Bivariate Discrete Distributions. Marcel Dekker, New York.
9. Marshall A.W. Olkin I. A multivariate exponential distribution Journal of the American Statistical Association 62 1967 30-44
10. Marshall A.W. Olkin I. Families of multivariate distributions Journal of the American Statistical Association 83 1988 834-841
11. Panjer H.H. Recursive evaluation of a family of compound distributions ASTIN Bulletin 11 1981 22-26
12. Panjer, H.H., Willmot, G.E., 1992. Insurance Risk Models. Society of Actuaries, Schaumburg, IL.
13. Sundt B. Jewell W.S. Further results of recursive evaluation of compound distributions ASTIN Bulletin 11 1981 27-39
14. Wang, S., 1998. Aggregation of correlated risk portfolios: models and algorithms. In: Proceedings of the Casualty Actuarial Society, pp. 848-939.
15. Yuen, K.C., Wang, G., 2002. Comparing two models with dependent classes of business. ARCH, Society of Actuaries, 22 pages.