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Multivariate risk model of phase type

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  • Cai, Jun
  • Li, Haijun

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  • Cai, Jun & Li, Haijun, 2005. "Multivariate risk model of phase type," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 137-152, April.
  • Handle: RePEc:eee:insuma:v:36:y:2005:i:2:p:137-152
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    References listed on IDEAS

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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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    Citations

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    Cited by:

    1. 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.
    2. 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 1-20, March.
    3. repec:eee:insuma:v:74:y:2017:i:c:p:170-181 is not listed on IDEAS
    4. Dutang, C. & Lefèvre, C. & Loisel, S., 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 774-785.
    5. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    6. 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.
    7. Gong, Lan & Badescu, Andrei L. & Cheung, Eric C.K., 2012. "Recursive methods for a multi-dimensional risk process with common shocks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 109-120.
    8. 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.
    9. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.
    10. Ivanovs, Jevgenijs & Boxma, Onno, 2015. "A bivariate risk model with mutual deficit coverage," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 126-134.
    11. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    12. Woo, Jae-Kyung, 2016. "On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 354-363.
    13. Eisele, Karl-Theodor, 2008. "Recursions for multivariate compound phase variables," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 65-72, February.
    14. 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.
    15. Berdel, Jasmin & Hipp, Christian, 2011. "Convolutions of multivariate phase-type distributions," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 374-377, May.
    16. 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.
    17. 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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