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dc.contributor.authorWU, X
dc.contributor.authorYuen,
dc.date.available2014-05-21T19:34:48Z
dc.date.issued2003
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000186288200009&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=d4d813f4571fa7d6246bdc0dfeca3a1c
dc.identifier.citationWU, 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.
dc.identifier.issn0167-6687
dc.identifier.urihttp://hdl.handle.net/11343/26488
dc.descriptionC1 - Journal Articles Refereed
dc.description.abstractIn 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.
dc.formatapplication/pdf
dc.languageEnglish
dc.publisherELSEVIER SCIENCE BV
dc.subjectRisk theory; Insurance Services
dc.titleOn a discrete-time risk model with interaction between classes of business
dc.typeJournal Article
dc.identifier.doi10.1016/S0167-6687(03)00148-3
melbourne.peerreviewPeer Reviewed
melbourne.affiliationThe University of Melbourne
melbourne.affiliation.departmentEconomics
melbourne.source.titleInsurance: Mathematics and Economics
melbourne.source.volume33
melbourne.source.issue1
melbourne.source.pages117-133
melbourne.publicationid74348
melbourne.elementsid286379
melbourne.contributor.authorWu, Xueyuan
melbourne.internal.ingestnoteAbstract bulk upload (2017-07-20)
dc.identifier.eissn1873-5959
melbourne.accessrightsThis item is currently not available from this repository


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