TY  - JOUR
AU  - WU, X
AU  - Yuen,
Y2  - 2014/05/21
Y1  - 2003
SN  - 0167-6687
UR  - http://hdl.handle.net/11343/26488
AB  - 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.
N1  - application/pdf
LA  - English
PB  - ELSEVIER SCIENCE BV
KW  - Risk theory; Insurance Services
T1  - On a discrete-time risk model with interaction between classes of business
DO  - 10.1016/S0167-6687(03)00148-3
IS  - Insurance: Mathematics and Economics
VL  - 33
IS  - 1
SP  - 117-133
L1  - /bitstream/handle/11343/26488/116291_5335.pdf?sequence=1&isAllowed=n
ER  -