The discrete-time risk model with correlated classes of business

By Hélène Cossette, É. Marceau. 2000

89 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/01d53662e1aada58836db5fc71433be1770b09e6

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Citations in the corpus

On a risk model with dependence between interclaim arrivals and claim sizes (2006, background): “Cossette and Marceau ( 2000 ), Muller and Pflug ( 2001 ), Denuit et al.”
On a correlated aggregate claims model with thinning-dependence structure (2005, background): “If n = 2, m = 3, p12 = p21 = 0, p31 = p32 = 1, p11 = p22 = 1, then R(t) of (1.2) is the risk model with common shock for two dependent classes of business discussed in Cossette and Marceau (2000).”
On a class of discrete time renewal risk models (2005, unknown): “j=1 rk−1 j Trif(y) π′ k(rj) , (5) where πk(s) = ∏k i=1(s− ri).”
On the ruin probabilities of a bidimensional perturbed risk model (2007, unknown): “Following the recent works of Ambagaspitiya (1998), Cossette and Marceau (2000), Yuen et al. (2002) (2006), Chan et al. (2003), Wang and Yuen (2005), and Cai and Li (2005), we consider a bidimensional insurance risk process perturbed by diffusion, in which the bidimensional surplus process R(t) =…”
Does positive dependence between individual risks increase stop-loss premiums? (2001, background): “As a few examples, let us mention the class of counting distributions introduced by Ambagaspityia (1998) or the models recently defined by Cossette and Marceau (2000); for more details, see Denuit, Dhaene and Ribas (1999).”
Ruin Probabilities in the Compound Markov Binomial Model (2003, background): “Consequently, it follows that R1 R0 as shown in Cossette and Marceau (2000) or Denuit, Genest & Marceau (2002).”
Approximation of the tail probability of randomly weighted sums and applications (2009, background): “The results obtained so far are very limited, and only those risk modes with very special structures have been attempted; see, for example, [2,9].”