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A time-series risk model with constant interest for dependent classes of business

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  • Zhang, Zhiqiang
  • Yuen, Kam C.
  • Li, Wai Keung

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  • 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.
    • Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:32-40
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    References listed on IDEAS

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    1. Promislow, S. David, 1991. "The probability of ruin in a process with dependent increments," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 99-107, July.
    2. M. J. Goovaerts & R. Kaas, 2002. "Some problems in actuarial finance involving sums of dependent risks," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(3), pages 253-269, August.
    3. 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.
    4. 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.
    5. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
    6. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    7. 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.
    8. 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.
    9. 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.
    10. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
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