Bäuerle, Nicole et Grübel, Rudolf, Multivariate risk processes with interacting intensities, Advances in applied probability , 40(1), 2008, pp. 578-601
The classical models in risk theory consider a single type of claim. In the insurance business, however, several business lines with separate claim arrival processes appear naturally, and the individual claim processes may not be independent. We introduce a new class of models for such situations, where the underlying counting process is a multivariate continuous-time Markov chain of pure-birth type and the dependency of the components arises from the fact that the birth rate for a specific claim type may depend on the number of claims in the other component processes. Under certain conditions, we obtain a fluid limit, i.e. a functional law of large numbers for these processes. We also investigate the consequences of such results for questions of interest in insurance applications. Several specific subclasses of the general model are discussed in detail and the Cramér asymptotics of the ruin probabilities are derived in particular cases.