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

TitleOn the first time of ruin in the bivariate compound Poisson model
Authors
Yuen, KCGuo, JWu, X
KeywordsAssociation Property
Compound Binomial
Compound Poisson
Orthant Order
Ruin Probability
Survival Probability
Issue Date2006
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2006, v. 38 n. 2, p. 298-308 How to Cite?
DOI: http://dx.doi.org/10.1016/j.insmatheco.2005.08.011
AbstractThis paper considers a bivariate compound Poisson model for a book of two dependent classes of insurance business. We focus on the ruin probability that at least one class of business will get ruined. As expected, general explicit expressions for this bivariate ruin probability is very difficult to obtain. In view of this, we introduce the so-called bivariate compound binomial model which can be used to approximate the finite-time survival probability of the assumed model. We then study some simple bounds for the infinite-time ruin probability via the association properties of the bivariate compound Poisson model. We also investigate the impact of dependence on the infinite-time ruin probability by means of multivariate stochastic orders. © 2005 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172420
ISSN
0167-6687
2021 Impact Factor: 2.168
2020 SCImago Journal Rankings: 1.139
ISI Accession Number ID
WOS:000236437100006
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_US
dc.contributor.authorGuo, Jen_US
dc.contributor.authorWu, Xen_US
dc.date.accessioned2012-10-30T06:22:25Z-
dc.date.available2012-10-30T06:22:25Z-
dc.date.issued2006en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2006, v. 38 n. 2, p. 298-308en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172420-
dc.description.abstractThis paper considers a bivariate compound Poisson model for a book of two dependent classes of insurance business. We focus on the ruin probability that at least one class of business will get ruined. As expected, general explicit expressions for this bivariate ruin probability is very difficult to obtain. In view of this, we introduce the so-called bivariate compound binomial model which can be used to approximate the finite-time survival probability of the assumed model. We then study some simple bounds for the infinite-time ruin probability via the association properties of the bivariate compound Poisson model. We also investigate the impact of dependence on the infinite-time ruin probability by means of multivariate stochastic orders. © 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.subjectAssociation Propertyen_US
dc.subjectCompound Binomialen_US
dc.subjectCompound Poissonen_US
dc.subjectOrthant Orderen_US
dc.subjectRuin Probabilityen_US
dc.subjectSurvival Probabilityen_US
dc.titleOn the first time of ruin in the bivariate compound Poisson modelen_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.2005.08.011en_US
dc.identifier.scopuseid_2-s2.0-33644860602en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33644860602&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume38en_US
dc.identifier.issue2en_US
dc.identifier.spage298en_US
dc.identifier.epage308en_US
dc.identifier.isiWOS:000236437100006-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.scopusauthoridGuo, J=7404490037en_US
dc.identifier.scopusauthoridWu, X=7408238280en_US
dc.identifier.issnl0167-6687-

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