University Library
  • Login
A gateway to Melbourne's research publications
Minerva Access is the University's Institutional Repository. It aims to collect, preserve, and showcase the intellectual output of staff and students of the University of Melbourne for a global audience.
View Item 
  • Minerva Access
  • Business & Economics
  • Economics
  • Economics - Research Publications
  • View Item
  • Minerva Access
  • Business & Economics
  • Economics
  • Economics - Research Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

    On a discrete-time risk model with interaction between classes of business

    Thumbnail
    Citations
    Scopus
    Web of Science
    Altmetric
    18
    15
    Author
    WU, X; Yuen
    Date
    2003
    Source Title
    Insurance: Mathematics & Economics
    Publisher
    ELSEVIER SCIENCE BV
    University of Melbourne Author/s
    Wu, Xueyuan
    Affiliation
    Economics
    Metadata
    Show full item record
    Document Type
    Journal Article
    Citations
    WU, 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 Status
    This item is currently not available from this repository
    URI
    http://hdl.handle.net/11343/26488
    DOI
    10.1016/S0167-6687(03)00148-3
    Description

    C1 - Journal Articles Refereed

    Abstract
    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.
    Keywords
    Risk theory; Insurance Services

    Export Reference in RIS Format     

    Endnote

    • Click on "Export Reference in RIS Format" and choose "open with... Endnote".

    Refworks

    • Click on "Export Reference in RIS Format". Login to Refworks, go to References => Import References


    Collections
    • Minerva Elements Records [45689]
    • Economics - Research Publications [584]
    Minerva AccessDepositing Your Work (for University of Melbourne Staff and Students)NewsFAQs

    BrowseCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects
    My AccountLoginRegister
    StatisticsMost Popular ItemsStatistics by CountryMost Popular Authors