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Article: On a multi-dimensional risk model with regime switching

TitleOn a multi-dimensional risk model with regime switching
Authors
Wang, GWang, GJYang, H
KeywordsCorrelated risk model
Cox process
Joint ruin probability
Modified Bessel function
Multi-dimensional risk models
Regime switching
Time of ruin
Upper bounds
Issue Date2016
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics and Economics, 2016, v. 68, p. 73-83 How to Cite?
DOI: http://dx.doi.org/10.1016/j.insmatheco.2016.03.003
Persistent Identifierhttp://hdl.handle.net/10722/231317
ISSN
0167-6687
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID
WOS:000376710200006

 

DC FieldValueLanguage
dc.contributor.authorWang, G-
dc.contributor.authorWang, GJ-
dc.contributor.authorYang, H-
dc.date.accessioned2016-09-20T05:22:17Z-
dc.date.available2016-09-20T05:22:17Z-
dc.date.issued2016-
dc.identifier.citationInsurance: Mathematics and Economics, 2016, v. 68, p. 73-83-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/231317-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectCorrelated risk model-
dc.subjectCox process-
dc.subjectJoint ruin probability-
dc.subjectModified Bessel function-
dc.subjectMulti-dimensional risk models-
dc.subjectRegime switching-
dc.subjectTime of ruin-
dc.subjectUpper bounds-
dc.titleOn a multi-dimensional risk model with regime switching-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.insmatheco.2016.03.003-
dc.identifier.scopuseid_2-s2.0-84961763045-
dc.identifier.hkuros263485-
dc.identifier.volume68-
dc.identifier.spage73-
dc.identifier.epage83-
dc.identifier.isiWOS:000376710200006-
dc.publisher.placeNetherlands-
dc.identifier.issnl0167-6687-

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