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On the first time of ruin in the bivariate compound Poisson model

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  • Yuen, Kam C.
  • Guo, Junyi
  • Wu, Xueyuan

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  • Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2006. "On the first time of ruin in the bivariate compound Poisson model," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 298-308, April.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:2:p:298-308
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    References listed on IDEAS

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    1. Wang, Guojing & Yuen, Kam C., 2005. "On a correlated aggregate claims model with thinning-dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 456-468, June.
    2. Dickson, David C. M. & Waters, Howard R., 1991. "Recursive Calculation of Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 199-221, November.
    3. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
    4. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2002. "On a correlated aggregate claims model with Poisson and Erlang risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 205-214, October.
    5. Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February.
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    Cited by:

    1. Bai, Xiaodong & Song, Lixin, 2011. "The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1891-1898.
    2. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015. "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 1-13.
    3. Lu, Dawei & Zhang, Bin, 2016. "Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 20-29.
    4. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
    5. Yan Zhang & Peibiao Zhao & Rufei Ma, 2022. "Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2743-2777, December.
    6. 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.
    7. 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.
    8. 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.
    9. Caibin Zhang & Zhibin Liang & Kam Chuen Yuen, 2019. "Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-45, March.
    10. 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.
    11. Hyunju Lee & Ji Hwan Cha, 2020. "A new general class of discrete bivariate distributions constructed by using the likelihood ratio," Statistical Papers, Springer, vol. 61(3), pages 923-944, June.
    12. Junna Bi & Zhibin Liang & Kam Chuen Yuen, 2019. "Optimal mean–variance investment/reinsurance with common shock in a regime-switching market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(1), pages 109-135, August.
    13. 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.
    14. 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.
    15. Bi, Junna & Liang, Zhibin & Xu, Fangjun, 2016. "Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 245-258.
    16. 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.
    17. Riva-Palacio, Alan & Leisen, Fabrizio, 2021. "Compound vectors of subordinators and their associated positive Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 183(C).

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