Dependent Risk Models with Bivariate Phase-Type Distributions
By Andrei L. Badescu, Eric C. K. Cheung, David Landriault. Journal of Applied Probability, 2009
85 citations recorded by the source corpus.
Subfields: Demography, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/9533e1f9dd182be644c5cf06ef8f0966822fd726
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Eric C. K. Cheung
- Hansjörg Albrecher *
- David Landriault
- Stefan Thonhauser
- Jae-Kyung Woo
- Gordon E. Willmot
- Ronnie Loeffen
- Kristina P. Pavlova
In Management Science and Operations Research
- Eric C. K. Cheung
- Hansjörg Albrecher *
- Stefan Thonhauser
- David Landriault
- Jae-Kyung Woo
- Gordon E. Willmot
- Xiaowen Zhou
- Ronnie Loeffen
In Statistics and Probability
- Eric C. K. Cheung
- Jae-Kyung Woo
- David Landriault
- Hansjörg Albrecher *
- Gordon E. Willmot
- Stefan Thonhauser
- Kristina P. Pavlova
- Shuanming Li
Citations in the corpus
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models (2010, background): “Badescu et al. (2009) assumed a bivariate phase-type distribution for (V , Y ), and Albrecher and Teugels (2006) examined asymptotics for ruin probabilities for the presentmodel. A similar dependency structure is also examined by Albrecher and Boxma (2004). These models retain many of the properties”
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2013, background): “…1) corresponds to the surplus immediately after the second-last claim before ruin in the aforementioned dependent Sparre Andersen risk model (see Badescu et al. (2009), Section 5; Cheung et al. 2010a), various structural properties derived in Cheung et al. (2010b) can be applied to the study of…”