File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/S0167-6687(03)00148-3
- Scopus: eid_2-s2.0-0141425635
- WOS: WOS:000186288200009
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: A discrete-time risk model with interaction between classes of business
Title | A discrete-time risk model with interaction between classes of business |
---|---|
Authors | |
Keywords | Adjustment Coefficient By-Claim Correlated Aggregate Claims Interaction Model Main Claim Ruin Probability Survival Probability |
Issue Date | 2003 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2003, v. 33 n. 1, p. 117-133 How to Cite? |
Abstract | In this paper, a discrete-time risk model with dependent classes of business called the interaction (IR) model is proposed. The model assumes that the number of claims in one class is governed not only by its underlying risk but also by the risks in other classes. For a family of claim-number distributions, the IR model is examined. Numerical studies are carried out to compare the finite-time ruin probabilities of the model to those of other correlated aggregate claims models in the literature. For the infinite-time ruin probabilities, comparisons between these models in terms of their adjustment coefficients are also made. © 2003 Elsevier B.V. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172406 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wu, X | en_US |
dc.contributor.author | Yuen, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:22Z | - |
dc.date.available | 2012-10-30T06:22:22Z | - |
dc.date.issued | 2003 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2003, v. 33 n. 1, p. 117-133 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172406 | - |
dc.description.abstract | In this paper, a discrete-time risk model with dependent classes of business called the interaction (IR) model is proposed. The model assumes that the number of claims in one class is governed not only by its underlying risk but also by the risks in other classes. For a family of claim-number distributions, the IR model is examined. Numerical studies are carried out to compare the finite-time ruin probabilities of the model to those of other correlated aggregate claims models in the literature. For the infinite-time ruin probabilities, comparisons between these models in terms of their adjustment coefficients are also made. © 2003 Elsevier B.V. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Adjustment Coefficient | en_US |
dc.subject | By-Claim | en_US |
dc.subject | Correlated Aggregate Claims | en_US |
dc.subject | Interaction Model | en_US |
dc.subject | Main Claim | en_US |
dc.subject | Ruin Probability | en_US |
dc.subject | Survival Probability | en_US |
dc.title | A discrete-time risk model with interaction between classes of business | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/S0167-6687(03)00148-3 | en_US |
dc.identifier.scopus | eid_2-s2.0-0141425635 | en_US |
dc.identifier.hkuros | 85068 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0141425635&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 33 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 117 | en_US |
dc.identifier.epage | 133 | en_US |
dc.identifier.isi | WOS:000186288200009 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Wu, X=7408238280 | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.issnl | 0167-6687 | - |