File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: A two-dimensional risk model with proportional reinsurance

TitleA two-dimensional risk model with proportional reinsurance
Authors
KeywordsAbsorbing set
Deficit at ruin
Geometric argument
Proportional reinsurance
Time to ruin
Two-dimensional risk model
Issue Date2011
PublisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Journal Of Applied Probability, 2011, v. 48 n. 3, p. 749-765 How to Cite?
AbstractIn this paper we consider an extension of the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008a). To this end, we assume that there are two insurers. The first insurer is subject to claims arising from two independent compound Poisson processes. The second insurer, which can be viewed as a different line of business of the same insurer or as a reinsurer, covers a proportion of the claims arising from one of these two compound Poisson processes. We derive the Laplace transform of the time until ruin of at least one insurer when the claim sizes follow a general distribution. The surplus level of the first insurer when the second insurer is ruined first is discussed at the end in connection with some open problems. © Applied Probability Trust 2011.
Persistent Identifierhttp://hdl.handle.net/10722/143106
ISSN
2015 Impact Factor: 0.665
2015 SCImago Journal Rankings: 0.742
References

 

DC FieldValueLanguage
dc.contributor.authorBadescu, ALen_HK
dc.contributor.authorCheung, ECKen_HK
dc.contributor.authorRabehasaina, Len_HK
dc.date.accessioned2011-10-31T06:18:10Z-
dc.date.available2011-10-31T06:18:10Z-
dc.date.issued2011en_HK
dc.identifier.citationJournal Of Applied Probability, 2011, v. 48 n. 3, p. 749-765en_HK
dc.identifier.issn0021-9002en_HK
dc.identifier.urihttp://hdl.handle.net/10722/143106-
dc.description.abstractIn this paper we consider an extension of the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008a). To this end, we assume that there are two insurers. The first insurer is subject to claims arising from two independent compound Poisson processes. The second insurer, which can be viewed as a different line of business of the same insurer or as a reinsurer, covers a proportion of the claims arising from one of these two compound Poisson processes. We derive the Laplace transform of the time until ruin of at least one insurer when the claim sizes follow a general distribution. The surplus level of the first insurer when the second insurer is ruined first is discussed at the end in connection with some open problems. © Applied Probability Trust 2011.en_HK
dc.languageeng-
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_HK
dc.relation.ispartofJournal of Applied Probabilityen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsJournal of Applied Probability. Copyright © Applied Probability Trust.-
dc.subjectAbsorbing seten_HK
dc.subjectDeficit at ruinen_HK
dc.subjectGeometric argumenten_HK
dc.subjectProportional reinsuranceen_HK
dc.subjectTime to ruinen_HK
dc.subjectTwo-dimensional risk modelen_HK
dc.titleA two-dimensional risk model with proportional reinsuranceen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=48&issue=3&spage=749&epage=765&date=2011&atitle=A+two-dimensional+risk+model+with+proportional+reinsurance-
dc.identifier.emailCheung, ECK: eckc@hku.hken_HK
dc.identifier.authorityCheung, ECK=rp01423en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1239/jap/1316796912en_HK
dc.identifier.scopuseid_2-s2.0-80054875311en_HK
dc.identifier.hkuros186000-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-80054875311&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume48en_HK
dc.identifier.issue3en_HK
dc.identifier.spage749en_HK
dc.identifier.epage765en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridBadescu, AL=16315079400en_HK
dc.identifier.scopusauthoridCheung, ECK=24461272100en_HK
dc.identifier.scopusauthoridRabehasaina, L=6506310400en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats