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Multivariate risk model of phase type
4 references·3 citing·28 second hop
Multivariate risk model of phase type (2005)Multivariate risk model of phase typeSome results on ruin probabilities in a two-dimensional risk model (2003)Some results on ruin probabil…Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999) (2000)Stochastic Processes for Insu…On Multivariate Panjer Recursions (1999)On Multivariate Panjer Recurs…Computational methods in risk theory: A matrix-algorithmic approach (1992)Computational methods in risk…ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (2014)ON SOME PROPERTIES OF A CLASS…Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results (2008)Exit problem of a two-dimensi…Dependence properties and bounds for ruin probabilities in multivariate compound risk models (2006)Dependence properties and bou…Recursive Evaluation of a Family of Compound Distributions (1981)An introduction to non-life insurance mathematics (1984)On some Extensions of Panjer's Class of Counting Distributions (1992)Calculation of aggregate loss distributions (2010)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Risk theory in a Markovian environment (1989)New results on the single server queue with a batch markovian arrival process (1991)On a Class of Renewal Risk Processes (1998)The estimation of phase-type related functionals using Markov chain Monte Carlo methods (2003)Characterization of Matrix-Exponential Distributions (2008)Insurance Risk Models (1994)Dependency of Risks and Stop-Loss Order (1996)Stochastic Processes for Insurance & Finance (1999)On the ruin probabilities of a bidimensional perturbed risk model (2006)Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models (2012)Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (2013)Coherent Measures of Risk (1999)Coherent allocation of risk capital (2001)Actuarial Theory for Dependent Risks (2005)A marked Cox model for the number of IBNR claims: Theory (2016)Conditional tail expectations for multivariate phase-type distributions (2005)Markov Models & Optimization (1993)Financial Calculus: An Introduction to Derivative Pricing. (1997)Arbitrage Theory in Continuous Time (1998)Stochastic Processes for Insurance and Finance (1999)Ruin Probabilities (2000)Asymptotic analysis of Lévy-driven tandem queues (2008)Tail asymptotics for a Lévy-driven tandem queue with an intermediate input (2009)
this work references cited by second hop

References

  • 2000Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999)123 cited
  • 2003Some results on ruin probabilities in a two-dimensional risk model97 cited
  • 1992Computational methods in risk theory: A matrix-algorithmic approach86 cited
  • 1999On Multivariate Panjer Recursions81 cited

Cited by

  • 2008Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results64 cited
  • 2006Dependence properties and bounds for ruin probabilities in multivariate compound risk models48 cited
  • 2014ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS43 cited

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