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Multivariate risk model of phase type · Study

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ArticleMultivariate risk model of phase type

Jun Cai2005

Article2005

Multivariate risk model of phase type

Jun Cai · Haijun Li

71 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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References

2000Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999)2003Some results on ruin probabilities in a two-dimensional risk model 1992Computational methods in risk theory: A matrix-algorithmic approach 1999On Multivariate Panjer Recursions

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2008Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results 2006Dependence properties and bounds for ruin probabilities in multivariate compound risk models 2014ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2006Dependence properties and bounds for ruin probabilities in multivariate compound risk modelsarticle · 3 shared references 2006On the ruin probabilities of a bidimensional perturbed risk modelarticle · 2 shared references 2008Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic resultsarticle · 2 shared references 2003The estimation of phase-type related functionals using Markov chain Monte Carlo methodsarticle · 2 shared references 2005Conditional tail expectations for multivariate phase-type distributionsarticle · 1 shared reference 2003Some results on ruin probabilities in a two-dimensional risk modelarticle · 1 shared reference

Details

Year2005

Typearticle

Published2005-03-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations71

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2004.11.004

openalex_workW1998579295

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