Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/102782
Title: | Survival probabilities in bivariate risk models, with application to reinsurance |
Author: | Castañer, Anna Claramunt Bielsa, M. Mercè Lefèvre, Claude |
Keywords: | Models matemàtics Risc (Assegurances) Risc (Economia) Mathematical models Risk (Insurance) Risk |
Issue Date: | Nov-2013 |
Publisher: | Elsevier B.V. |
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. |
Note: | Versió postprint del document publicat a: http://dx.doi.org/10.1016/j.insmatheco.2013.09.001 |
It is part of: | Insurance Mathematics and Economics, 2013, vol. 53, num. 3, p. 632-642 |
URI: | http://hdl.handle.net/2445/102782 |
Related resource: | http://dx.doi.org/10.1016/j.insmatheco.2013.09.001 |
ISSN: | 0167-6687 |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
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