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Multivariate risk model of phase type

Listed author(s):
  • Cai, Jun
  • Li, Haijun
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 36 (2005)
    Issue (Month): 2 (April)
    Pages: 137-152

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    Handle: RePEc:eee:insuma:v:36:y:2005:i:2:p:137-152
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    1. Asmussen, Søren & Frey, Andreas & Rolski, Tomasz & Schmidt, Volker, 1995. "Does Markov-Modulation Increase the Risk?," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 25(01), pages 49-66, May.
    2. 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.
    3. Lindqvist, Bo Henry, 1988. "Association of probability measures on partially ordered spaces," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 111-132, August.
    4. Sundt, Bjørn, 1999. "On Multivariate Panjer Recursions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 29(01), pages 29-45, May.
    5. 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.
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