On the ruin probabilities of a bidimensional perturbed risk model

Li, Junhai; Liu, Zaiming; Tang, Qihe

doi:10.1016/j.insmatheco.2006.10.012

Cited by 70 publications

(33 citation statements)

References 13 publications

(16 reference statements)

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“…Recent results pertaining to multidimensional risk models can be found in, e.g. Chan et al (2003), Cai and Li (2005), (2007), Yuen et al (2006), Li et al (2007), Avram et al (2008aAvram et al ( ), (2008b, Dang et al (2009), Rabehasaina (2009), andGong et al (2010). Among these, the work that motivates the present work is that of Avram et al (2008a).…”

Section: Introductionmentioning

confidence: 99%

A Two-Dimensional Risk Model with Proportional Reinsurance

Badescu

Cheung

2011

J. Appl. Probab.

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In this paper we consider an extension of the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008a). To this end, we assume that there are two insurers. The first insurer is subject to claims arising from two independent compound Poisson processes. The second insurer, which can be viewed as a different line of business of the same insurer or as a reinsurer, covers a proportion of the claims arising from one of these two compound Poisson processes. We derive the Laplace transform of the time until ruin of at least one insurer when the claim sizes follow a general distribution. The surplus level of the first insurer when the second insurer is ruined first is discussed at the end in connection with some open problems.

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Section: Introductionmentioning

confidence: 99%

A Two-Dimensional Risk Model with Proportional Reinsurance

Badescu

Cheung

2011

J. Appl. Probab.

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“…Due to the practical applicability, in recent years, more and more researchers pay their attentions to various bidimensional risk models; see Li et al [15], Chen et al [7], Zhang and Wang [21], Chen et al [4,5], Gao and Yang [9], Li and Yang [16], among others. While for the aforementioned works, they all considered the case in which an insurance company operated two kinds of insurance business, which is different from ours by modeling an insurance and a re-insurance company.…”

Section: Introductionmentioning

confidence: 99%

On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

2016

Journal of Mathematical Analysis and Applications

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“…We refer e.g. to Avram et al (2008), Cai and Li (2007), Chan et al (2003), Denuit et al (2007), Gong et al (2012), Guo et al (2007), Li et al (2007), Picard et al (2003a) and the references therein. For reinsurance applications, see e.g.…”

Section: Introductionmentioning

confidence: 99%

Survival probabilities in bivariate risk models, with application to reinsurance

Castañer¹,

Bielsa²,

Lefèvre³

2013

Insurance: Mathematics and Economics

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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 continuoustime 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.

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On the ruin probabilities of a bidimensional perturbed risk model

Cited by 70 publications

References 13 publications

A Two-Dimensional Risk Model with Proportional Reinsurance

A Two-Dimensional Risk Model with Proportional Reinsurance

On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

Survival probabilities in bivariate risk models, with application to reinsurance

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