کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552752 | 1374144 | 2005 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivariate risk model of phase type
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Multivariate risk model of phase type Multivariate risk model of phase type](/preview/png/9552752.png)
چکیده انگلیسی
This paper is concerned with several types of ruin probabilities for a multivariate compound Poisson risk model, where the claim size vector follows a multivariate phase type distribution. First, an explicit representation for the convolution of a multivariate phase type distribution is derived, and then an explicit formula for the ruin probability that the total claim surplus exceeds the total initial reserve in infinite horizon is obtained. Furthermore, the effect of the dependence among various types of claims on this type of ruin probability is considered under the convex and supermodular orders. In addition, the bounds for other types of ruin probabilities are developed by utilizing the association of multivariate phase type distributions. Finally, some examples are presented to illustrate the results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 2, 22 April 2005, Pages 137-152
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 2, 22 April 2005, Pages 137-152
نویسندگان
Jun Cai, Haijun Li,