On a discrete-time risk model with interaction between classes of business
AuthorWU, X; Yuen,
Source TitleInsurance: Mathematics and Economics
PublisherELSEVIER SCIENCE BV
University of Melbourne Author/sWu, Xueyuan
Document TypeJournal Article
CitationsWU, X. & Yuen, (2003). On a discrete-time risk model with interaction between classes of business. Insurance: Mathematics & Economics, 33 (1), pp.117-133. https://doi.org/10.1016/S0167-6687(03)00148-3.
Access StatusThis item is currently not available from this repository
C1 - Journal Articles Refereed
In this paper, a discrete-time risk model with dependent classes of business called the interaction (IR) model is proposed. The model assumes that the number of claims in one class is governed not only by its underlying risk but also by the risks in other classes. For a family of claim-number distributions, the IR model is examined. Numerical studies are carried out to compare the finite-time ruin probabilities of the model to those of other correlated aggregate claims models in the literature. For the infinite-time ruin probabilities, comparisons between these models in terms of their adjustment coefficients are also made.
KeywordsRisk theory; Insurance Services
- Click on "Export Reference in RIS Format" and choose "open with... Endnote".
- Click on "Export Reference in RIS Format". Login to Refworks, go to References => Import References