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Article: Ruin probabilities in cox risk models with two dependent classes of business
Title | Ruin probabilities in cox risk models with two dependent classes of business |
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Authors | |
Keywords | Cox Risk Model Infinitesimal Generator Markov Process Ruin Probability |
Issue Date | 2007 |
Publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10114/index.htm |
Citation | Acta Mathematica Sinica, English Series, 2007, v. 23 n. 7, p. 1281-1288 How to Cite? |
Abstract | In this paper we consider risk processes with two classes of business in which the two claim-number processes are dependent Cox processes. We first assume that the two claim-number processes have a two-dimensional Markovian intensity. Under this assumption, we not only study the sum of the two individual risk processes but also investigate the two-dimensional risk process formed by considering the two individual processes separately. For each of the two risk processes we derive an expression for the ruin probability, and then construct an upper bound for the ruin probability. We next assume that the intensity of the two claim-number processes follows a Markov chain. In this case, we examine the ruin probability of the sum of the two individual risk processes. Specifically, a differential system for the ruin probability is derived and numerical results are obtained for exponential claim sizes. © Springer-Verlag Berlin Heidelberg 2007. |
Persistent Identifier | http://hdl.handle.net/10722/172436 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.395 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Guo, JY | en_US |
dc.contributor.author | Yuen, KC | en_US |
dc.contributor.author | Zhou, M | en_US |
dc.date.accessioned | 2012-10-30T06:22:31Z | - |
dc.date.available | 2012-10-30T06:22:31Z | - |
dc.date.issued | 2007 | en_US |
dc.identifier.citation | Acta Mathematica Sinica, English Series, 2007, v. 23 n. 7, p. 1281-1288 | en_US |
dc.identifier.issn | 1439-8516 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172436 | - |
dc.description.abstract | In this paper we consider risk processes with two classes of business in which the two claim-number processes are dependent Cox processes. We first assume that the two claim-number processes have a two-dimensional Markovian intensity. Under this assumption, we not only study the sum of the two individual risk processes but also investigate the two-dimensional risk process formed by considering the two individual processes separately. For each of the two risk processes we derive an expression for the ruin probability, and then construct an upper bound for the ruin probability. We next assume that the intensity of the two claim-number processes follows a Markov chain. In this case, we examine the ruin probability of the sum of the two individual risk processes. Specifically, a differential system for the ruin probability is derived and numerical results are obtained for exponential claim sizes. © Springer-Verlag Berlin Heidelberg 2007. | en_US |
dc.language | eng | en_US |
dc.publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/10114/index.htm | en_US |
dc.relation.ispartof | Acta Mathematica Sinica, English Series | en_US |
dc.subject | Cox Risk Model | en_US |
dc.subject | Infinitesimal Generator | en_US |
dc.subject | Markov Process | en_US |
dc.subject | Ruin Probability | en_US |
dc.title | Ruin probabilities in cox risk models with two dependent classes of business | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1007/s10114-005-0819-7 | en_US |
dc.identifier.scopus | eid_2-s2.0-34347236184 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-34347236184&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 23 | en_US |
dc.identifier.issue | 7 | en_US |
dc.identifier.spage | 1281 | en_US |
dc.identifier.epage | 1288 | en_US |
dc.identifier.isi | WOS:000247410700013 | - |
dc.publisher.place | Germany | en_US |
dc.identifier.scopusauthorid | Guo, JY=7404490037 | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.scopusauthorid | Zhou, M=8889206800 | en_US |
dc.identifier.citeulike | 1541840 | - |
dc.identifier.issnl | 1439-7617 | - |