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Some results on ruin probabilities in a two-dimensional risk model

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Cited by:

  1. Gordienko, E. & Vázquez-Ortega, P., 2018. "Continuity inequalities for multidimensional renewal risk models," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 48-54.
  2. Shen, Xinmei & Zhang, Yi, 2013. "Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1787-1799.
  3. Ji Hwan Cha & Massimiliano Giorgio, 2018. "Modelling of Marginally Regular Bivariate Counting Process and its Application to Shock Model," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1137-1154, December.
  4. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
  5. Cai, Jun & Li, Haijun, 2005. "Multivariate risk model of phase type," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 137-152, April.
  6. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
  7. Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2017. "Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 227-235.
  8. Cheng, Ming & Konstantinides, Dimitrios G. & Wang, Dingcheng, 2022. "Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims," Applied Mathematics and Computation, Elsevier, vol. 434(C).
  9. Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami, 2017. "A state dependent reinsurance model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 170-181.
  10. Anita Behme & Philipp Lukas Strietzel, 2021. "A $$2~{\times }~2$$ 2 × 2 random switching model and its dual risk model," Queueing Systems: Theory and Applications, Springer, vol. 99(1), pages 27-64, October.
  11. Dang, Lanfen & Zhu, Ning & Zhang, Haiming, 2009. "Survival probability for a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 491-496, June.
  12. Jiang, Tao & Wang, Yuebao & Chen, Yang & Xu, Hui, 2015. "Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 45-53.
  13. Luis Rincón & David J. Santana, 2022. "Ruin Probability for Finite Erlang Mixture Claims Via Recurrence Sequences," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2213-2236, September.
  14. Badila, E.S. & Boxma, O.J. & Resing, J.A.C., 2015. "Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 48-61.
  15. Albrecher, Hansjörg & Cheung, Eric C.K. & Liu, Haibo & Woo, Jae-Kyung, 2022. "A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 96-118.
  16. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
  17. Hongmin Xiao & Lin Xie, 2018. "Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate," Risks, MDPI, vol. 6(4), pages 1-12, November.
  18. Stanisław Heilpern, 2009. "Probability of ruin for a dependent, two-dimensional Poisson process," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(1), pages 77-90.
  19. Bai, Lihua & Cai, Jun & Zhou, Ming, 2013. "Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 664-670.
  20. Wang, Guanqing & Wang, Guojing & Yang, Hailiang, 2016. "On a multi-dimensional risk model with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 73-83.
  21. 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.
  22. Dan Zhu & Ming Zhou & Chuancun Yin, 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions," Mathematics, MDPI, vol. 11(12), pages 1-18, June.
  23. Hilda Azkiyah Surya & Herlina Napitupulu & Sukono, 2023. "Double Risk Catastrophe Reinsurance Premium Based on Houses Damaged and Deaths," Mathematics, MDPI, vol. 11(4), pages 1-18, February.
  24. Ivanovs, Jevgenijs & Boxma, Onno, 2015. "A bivariate risk model with mutual deficit coverage," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 126-134.
  25. Peter Grandits & Maike Klein, 2020. "Ruin probability in a two-dimensional model with correlated Brownian motions," Papers 2004.13601, arXiv.org.
  26. Pablo Azcue & Nora Muler & Zbigniew Palmowski, 2016. "Optimal dividend payments for a two-dimensional insurance risk process," Papers 1603.07019, arXiv.org, revised Apr 2018.
  27. 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.
  28. 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.
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