The discrete-time risk model with correlated classes of business

被引：42

作者：

Cossette, H ^{[1
]}

Marceau, E ^{[1
]}

机构：

[1] Univ Laval, Ecole Actuariat, Ste Foy, PQ G1K 7P4, Canada

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 26卷 / 2-3期

基金：

加拿大自然科学与工程研究理事会;

关键词：

correlated aggregate claims; shock models; ruin probability; adjustment coefficient;

D O I：

10.1016/S0167-6687(99)00057-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The discrete-time risk model with correlated classes of business is examined. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjustment coefficient is also studied. Numerical examples are presented. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：133 / 149

页数：17

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