Add to ORKGSession 1Organized by The University of Hong Kong and Society of ActuariesIn practice, an insurance company usually has several classes of business which are more or less correlated with each other. In view of the complex nature of modern insurance products, research on modeling dependent classes of business has be-come an important topic in the actuarial literature. This talk discusses two types of dependence in claim-number processes, namely the common shock and thinning dependence. Based on these dependence structures, ruin analysis and optimal reinsurance are considered.published_or_final_versio
One basic problem in statistical sciences is to understand the relationships among multivariate outc...
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insu...
When actuaries face with the problem of pricing an insurance contract that contains different types ...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
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...
Many insurance and finance activities involve multiple risks. Dependence structures between differen...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
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 ...
The increasing complexity of insurance and reinsurance products has seen a growing interest amongst ...
Methods for computing risk measures such as stop-loss premiums tacitly assume independence of the un...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
We consider the surplus of an insurance company that employs reinsurance. The reinsurer covers part ...
One basic problem in statistical sciences is to understand the relationships among multivariate outc...
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insu...
When actuaries face with the problem of pricing an insurance contract that contains different types ...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
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...
Many insurance and finance activities involve multiple risks. Dependence structures between differen...
We consider a continuous-time insurance risk model with m dependent classes of business with depende...
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 ...
The increasing complexity of insurance and reinsurance products has seen a growing interest amongst ...
Methods for computing risk measures such as stop-loss premiums tacitly assume independence of the un...
In the actuarial literature, dependence structures in risk models have been extensively studied. The...
We consider the surplus of an insurance company that employs reinsurance. The reinsurer covers part ...
One basic problem in statistical sciences is to understand the relationships among multivariate outc...
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insu...
When actuaries face with the problem of pricing an insurance contract that contains different types ...