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http://hdl.handle.net/2445/102782
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DC Field | Value | Language |
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dc.contributor.author | Castañer, Anna | - |
dc.contributor.author | Claramunt Bielsa, M. Mercè | - |
dc.contributor.author | Lefèvre, Claude | - |
dc.date.accessioned | 2016-10-20T07:01:23Z | - |
dc.date.available | 2016-10-20T07:01:23Z | - |
dc.date.issued | 2013-11 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/2445/102782 | - |
dc.description.abstract | This paper deals with an insurance portfolio that covers two interdependent risks. The central model is a discrete-time bivariate risk process with independent claim increments. A continuous-time version of compound Poisson type is also examined. Our main purpose is to develop a numerical method for determining non-ruin probabilities over a finite-time horizon. The approach relies on, and exploits, the existence of a special algebraic structure of Appell type. Some applications in reinsurance to the joint risks of the cedent and the reinsurer are presented and discussed, under a stop-loss or excess of loss contract. | - |
dc.format.extent | 11 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: http://dx.doi.org/10.1016/j.insmatheco.2013.09.001 | - |
dc.relation.ispartof | Insurance Mathematics and Economics, 2013, vol. 53, num. 3, p. 632-642 | - |
dc.relation.uri | http://dx.doi.org/10.1016/j.insmatheco.2013.09.001 | - |
dc.rights | (c) Elsevier B.V., 2013 | - |
dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
dc.subject.classification | Models matemàtics | - |
dc.subject.classification | Risc (Assegurances) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.other | Mathematical models | - |
dc.subject.other | Risk (Insurance) | - |
dc.subject.other | Risk | - |
dc.title | Survival probabilities in bivariate risk models, with application to reinsurance | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 628536 | - |
dc.date.updated | 2016-10-20T07:01:28Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
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628536.pdf | 346.91 kB | Adobe PDF | View/Open |
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