File Download
  Links for fulltext
     (May Require Subscription)
  • Find via Find It@HKUL
Supplementary

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
Wan, LMYuen, KCLi, WK
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
1064-6647

 

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-
dc.identifier.issnl1064-6647-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats