The discrete-time risk model with correlated classes of business

Authors
Cossette, H Marceau, E
Citation
H. Cossette et E. Marceau, The discrete-time risk model with correlated classes of business, INSUR MATH, 26(2-3), 2000, pp. 133-149
Citations number
19
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
26
Issue
2-3
Year of publication
2000
Pages
133 - 149
Database
ISI
SICI code
0167-6687(20000508)26:2-3<133:TDRMWC>2.0.ZU;2-G
Abstract
The discrete-time risk model with correlated classes of business is examine d. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjust ment coefficient is also studied. Numerical examples are presented. (C) 200 0 Elsevier Science B.V. All rights reserved.