Multivariate risk model of phase type
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 36 (2005)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
- Lindqvist, Bo Henry, 1988. "Association of probability measures on partially ordered spaces," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 111-132, August.
- Li, Haijun, 2003. "Association of multivariate phase-type distributions, with applications to shock models," Statistics & Probability Letters, Elsevier, vol. 64(4), pages 381-392, October.
- Asimit, Alexandru V. & Jones, Bruce L., 2007. "Extreme behavior of multivariate phase-type distributions," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 223-233, September.
- Li, Junhai & Liu, Zaiming & Tang, Qihe, 2007. "On the ruin probabilities of a bidimensional perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 185-195, July.
- Cai, Jun & Li, Haijun, 2007. "Dependence properties and bounds for ruin probabilities in multivariate compound risk models," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 757-773, April.
- Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
- Berdel, Jasmin & Hipp, Christian, 2011. "Convolutions of multivariate phase-type distributions," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 374-377, May.
- Eisele, Karl-Theodor, 2008. "Recursions for multivariate compound phase variables," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 65-72, February.
- Bäuerle, Nicole & Blatter, Anja, 2011. "Optimal control and dependence modeling of insurance portfolios with Lévy dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 398-405, May.
- Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, Open Access Journal, vol. 1(1), pages 14-33, March.
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