Document type
ArticleVersion
Accepted versionPublication date
All rights reserved
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/102782
Survival probabilities in bivariate risk models, with application to reinsurance
Journal Title
Director/Tutor
Journal ISSN
Volume Title
Related resource
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.
Subject (English)
Citation
Citation
CASTAÑER, Anna, CLARAMUNT BIELSA, M. Mercè and LEFÈVRE, Claude. Survival probabilities in bivariate risk models, with application to reinsurance. Insurance Mathematics and Economics. 2013. Vol. 53, num. 3, pags. 632-642. ISSN 0167-6687. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/102782