Title of article :
The discrete-time risk model with correlated classes of business
Author/Authors :
Cossette، نويسنده , , Hélène and Marceau، نويسنده , , Etienne، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
The discrete-time risk model with correlated classes of business is examined. Two different relations of dependence are considered. The impact of the dependence relation on the finite-time ruin probabilities and on the adjustment coefficient is also studied. Numerical examples are presented.
Keywords :
Ruin probability , Correlated aggregate claims , Shock models , Adjustment Coefficient
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics
