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Article: A discrete-time risk model with interaction between classes of business

TitleA discrete-time risk model with interaction between classes of business
Authors
Wu, XYuen, KC
KeywordsAdjustment Coefficient
By-Claim
Correlated Aggregate Claims
Interaction Model
Main Claim
Ruin Probability
Survival Probability
Issue Date2003
PublisherElsevier 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?
DOI: http://dx.doi.org/10.1016/S0167-6687(03)00148-3
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/172406
ISSN
0167-6687
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID
WOS:000186288200009
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorWu, Xen_US
dc.contributor.authorYuen, KCen_US
dc.date.accessioned2012-10-30T06:22:22Z-
dc.date.available2012-10-30T06:22:22Z-
dc.date.issued2003en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2003, v. 33 n. 1, p. 117-133en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172406-
dc.description.abstractIn 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.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.subjectAdjustment Coefficienten_US
dc.subjectBy-Claimen_US
dc.subjectCorrelated Aggregate Claimsen_US
dc.subjectInteraction Modelen_US
dc.subjectMain Claimen_US
dc.subjectRuin Probabilityen_US
dc.subjectSurvival Probabilityen_US
dc.titleA discrete-time risk model with interaction between classes of businessen_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/S0167-6687(03)00148-3en_US
dc.identifier.scopuseid_2-s2.0-0141425635en_US
dc.identifier.hkuros85068-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0141425635&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume33en_US
dc.identifier.issue1en_US
dc.identifier.spage117en_US
dc.identifier.epage133en_US
dc.identifier.isiWOS:000186288200009-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridWu, X=7408238280en_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.issnl0167-6687-

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