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Article: Analysis of an insurance risk model with thinning dependence and common shock

TitleAnalysis of an insurance risk model with thinning dependence and common shock
Authors
KeywordsAdjustment coefficient
By-claim
Common Shock
Main Claim
Issue Date2006
PublisherAbsalom Press, Inc. The Journal's web site is located at http://jofap.org/index.html
Citation
Journal of Actuarial Practice, 2006, v. 13, p. 147-164 How to Cite?
AbstractWe consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case m=2 is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions.
Persistent Identifierhttp://hdl.handle.net/10722/82934
ISSN

 

DC FieldValueLanguage
dc.contributor.authorWan, LM-
dc.contributor.authorYuen, KC-
dc.contributor.authorLi, WK-
dc.date.accessioned2010-09-06T08:35:03Z-
dc.date.available2010-09-06T08:35:03Z-
dc.date.issued2006-
dc.identifier.citationJournal of Actuarial Practice, 2006, v. 13, p. 147-164-
dc.identifier.issn1064-6647-
dc.identifier.urihttp://hdl.handle.net/10722/82934-
dc.description.abstractWe consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case m=2 is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions.-
dc.languageeng-
dc.publisherAbsalom Press, Inc. The Journal's web site is located at http://jofap.org/index.html-
dc.relation.ispartofJournal of Actuarial Practice-
dc.subjectAdjustment coefficient-
dc.subjectBy-claim-
dc.subjectCommon Shock-
dc.subjectMain Claim-
dc.titleAnalysis of an insurance risk model with thinning dependence and common shock-
dc.typeArticle-
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1064-6647&volume=13&spage=147&epage=164&date=2006&atitle=Analysis+of+an+insurance+risk+model+with+thinning+dependence+and+common+shocken_HK
dc.identifier.emailYuen, KC: kcyuen@hkusua.hku.hk-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.identifier.authorityLi, WK=rp00741-
dc.description.naturelink_to_OA_fulltext-
dc.identifier.hkuros123001-
dc.identifier.volume13-
dc.identifier.spage147-
dc.identifier.epage164-
dc.publisher.placeUnited States-

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