Add to ORKGWe consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case m = 2 is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions
The idea of using common Poisson shock processes to model dependent event frequencies is well known ...
Methods for computing risk measures such as stop-loss premiums tacitly assume independence of the un...
In this paper, we consider the optimal proportional reinsurance strategy in a risk model with multip...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
Session 1Organized by The University of Hong Kong and Society of ActuariesIn practice, an insurance ...
In practice, an insurance company usually has several classes of business which are more or less cor...
In practice, an insurance company usually has several classes of business which are more or less cor...
In this paper, we consider a risk model with n (n ≥ 2) dependent classes of insurance business. Stoc...
Classical risk process models in insurance rely on independency. However, especially when modeling n...
The optimal reinsurance problem and the dividend problem are concerned in this thesis for some risk ...
In classical risk theory, the surplus process is a very important model for understand-ing how the c...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
(Uncorrected OCR) Abstract of the thesis entitled ON INSURANCE RISK MODELS WITH CORRELATED CLASSE...
We consider a discrete-time risk model with m (m ~ 2) dependent classes of insurance business. The c...
The idea of using common Poisson shock processes to model dependent event frequencies is well known ...
Methods for computing risk measures such as stop-loss premiums tacitly assume independence of the un...
In this paper, we consider the optimal proportional reinsurance strategy in a risk model with multip...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
Session 1Organized by The University of Hong Kong and Society of ActuariesIn practice, an insurance ...
In practice, an insurance company usually has several classes of business which are more or less cor...
In practice, an insurance company usually has several classes of business which are more or less cor...
In this paper, we consider a risk model with n (n ≥ 2) dependent classes of insurance business. Stoc...
Classical risk process models in insurance rely on independency. However, especially when modeling n...
The optimal reinsurance problem and the dividend problem are concerned in this thesis for some risk ...
In classical risk theory, the surplus process is a very important model for understand-ing how the c...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
(Uncorrected OCR) Abstract of the thesis entitled ON INSURANCE RISK MODELS WITH CORRELATED CLASSE...
We consider a discrete-time risk model with m (m ~ 2) dependent classes of insurance business. The c...
The idea of using common Poisson shock processes to model dependent event frequencies is well known ...
Methods for computing risk measures such as stop-loss premiums tacitly assume independence of the un...
In this paper, we consider the optimal proportional reinsurance strategy in a risk model with multip...