IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v36y2005i3p456-468.html
   My bibliography  Save this article

On a correlated aggregate claims model with thinning-dependence structure

Author

Listed:
  • Wang, Guojing
  • Yuen, Kam C.

Abstract

No abstract is available for this item.

Suggested Citation

  • Wang, Guojing & Yuen, Kam C., 2005. "On a correlated aggregate claims model with thinning-dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 456-468, June.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:456-468
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(05)00045-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
    2. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2002. "On a correlated aggregate claims model with Poisson and Erlang risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 205-214, October.
    3. Ambagaspitiya, Rohana S., 2003. "Aggregate survival probability of a portfolio with dependent subportfolios," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 431-443, July.
    4. Ambagaspitiya, Rohana S., 1999. "On the distributions of two classes of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 301-308, May.
    5. Ambagaspitiya, Rohana S., 1998. "On the distribution of a sum of correlated aggregate claims," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 15-19, October.
    6. Wu, Xueyuan & Yuen, Kam C., 2003. "A discrete-time risk model with interaction between classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 117-133, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015. "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 1-13.
    2. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2006. "On the first time of ruin in the bivariate compound Poisson model," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 298-308, April.
    3. Dang, Lanfen & Zhu, Ning & Zhang, Haiming, 2009. "Survival probability for a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 491-496, June.
    4. Li, Junhai & Liu, Zaiming & Tang, Qihe, 2007. "On the ruin probabilities of a bidimensional perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 185-195, July.
    5. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    6. Bai, Lihua & Cai, Jun & Zhou, Ming, 2013. "Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 664-670.
    7. Wang, Guanqing & Wang, Guojing & Yang, Hailiang, 2016. "On a multi-dimensional risk model with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 73-83.
    8. Zhang, Caibin & Liang, Zhibin & Yuan, Yu, 2024. "Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure," European Journal of Operational Research, Elsevier, vol. 315(1), pages 213-227.
    9. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    10. Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.
    11. Liang, Xue & Wang, Guojing, 2012. "On a reduced form credit risk model with common shock and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 567-575.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhang, Zhiqiang & Yuen, Kam C. & Li, Wai Keung, 2007. "A time-series risk model with constant interest for dependent classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 32-40, July.
    2. Dang, Lanfen & Zhu, Ning & Zhang, Haiming, 2009. "Survival probability for a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 491-496, June.
    3. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    4. He Liu & Zhenhua Bao, 2015. "On a Discrete Interaction Risk Model with Delayed Claims," JRFM, MDPI, vol. 8(4), pages 1-14, September.
    5. Bai, Lihua & Cai, Jun & Zhou, Ming, 2013. "Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 664-670.
    6. S. X. Liu & J. Y. Guo, 2006. "Discrete Risk Model Revisited," Methodology and Computing in Applied Probability, Springer, vol. 8(2), pages 303-313, June.
    7. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2006. "On the first time of ruin in the bivariate compound Poisson model," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 298-308, April.
    8. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2002. "On a correlated aggregate claims model with Poisson and Erlang risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 205-214, October.
    9. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2017. "Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 151-174, March.
    10. Li, Junhai & Liu, Zaiming & Tang, Qihe, 2007. "On the ruin probabilities of a bidimensional perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 185-195, July.
    11. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
    12. Denuit, Michel & Dhaene, Jan & Ribas, Carmen, 2001. "Does positive dependence between individual risks increase stop-loss premiums?," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 305-308, June.
    13. Ambagaspitiya, Rohana S., 2003. "Aggregate survival probability of a portfolio with dependent subportfolios," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 431-443, July.
    14. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
    15. Yinghui Dong & Kam C. Yuen & Guojing Wang & Chongfeng Wu, 2016. "A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 459-486, June.
    16. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
    17. Bermúdez i Morata, Lluís, 2009. "A priori ratemaking using bivariate Poisson regression models," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 135-141, February.
    18. Lluis Bermúdez i Morata, 2008. "A priori ratemaking using bivariate poisson regression models," Working Papers XREAP2008-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
    19. Xiang Hu & Lianzeng Zhang, 2016. "Ruin Probability in a Correlated Aggregate Claims Model with Common Poisson Shocks: Application to Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 675-689, September.
    20. Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:456-468. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.