File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: On a correlated aggregate claims model with thinning-dependence structure

TitleOn a correlated aggregate claims model with thinning-dependence structure
Authors
KeywordsCorrelated Aggregate Claims
Lundberg Exponent
Ruin Probability
Stochastic Sources
Thinning-Dependence Structure
Issue Date2005
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2005, v. 36 n. 3, p. 456-468 How to Cite?
AbstractIn this paper, we consider a risk model with n (n ≥ 2) dependent classes of insurance business. Stochastic sources related to claim occurrences of the n classes are classified into m groups. It is assumed that each event in the k th (k = 1, 2,..., m) group may cause a claim in the jth class (j = 1, 2,..., n) with a certain probability. Within this framework, there exists certain correlation between the n claim-number processes due to the so-called thinning-dependence structure. We examine basic properties of the proposed risk process and study upper bounds for the ruin probability under certain assumptions. We also investigate the impact of the thinning-dependence structure as well as that of the classification of the stochastic sources on the ruin probability. © 2005 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172415
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWang, Gen_US
dc.contributor.authorYuen, KCen_US
dc.date.accessioned2012-10-30T06:22:24Z-
dc.date.available2012-10-30T06:22:24Z-
dc.date.issued2005en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2005, v. 36 n. 3, p. 456-468en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172415-
dc.description.abstractIn this paper, we consider a risk model with n (n ≥ 2) dependent classes of insurance business. Stochastic sources related to claim occurrences of the n classes are classified into m groups. It is assumed that each event in the k th (k = 1, 2,..., m) group may cause a claim in the jth class (j = 1, 2,..., n) with a certain probability. Within this framework, there exists certain correlation between the n claim-number processes due to the so-called thinning-dependence structure. We examine basic properties of the proposed risk process and study upper bounds for the ruin probability under certain assumptions. We also investigate the impact of the thinning-dependence structure as well as that of the classification of the stochastic sources on the ruin probability. © 2005 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subjectCorrelated Aggregate Claimsen_US
dc.subjectLundberg Exponenten_US
dc.subjectRuin Probabilityen_US
dc.subjectStochastic Sourcesen_US
dc.subjectThinning-Dependence Structureen_US
dc.titleOn a correlated aggregate claims model with thinning-dependence structureen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.insmatheco.2005.04.004en_US
dc.identifier.scopuseid_2-s2.0-21244443005en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-21244443005&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume36en_US
dc.identifier.issue3en_US
dc.identifier.spage456en_US
dc.identifier.epage468en_US
dc.identifier.isiWOS:000230572800015-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridWang, G=7407152599en_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats