Ruin probabilities in multivariate risk models with periodic common shock
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DOI: 10.1080/03461238.2015.1094404
Abstract: We propose a multidimensional risk model where the common shock affecting all classes of insurance business is arriving according to a non-homogeneous periodic Poisson process. In this multivariate setting, we derive upper bounds of Lundberg-type… read more here.
Keywords: risk; probabilities multivariate; ruin; ruin probabilities ... See more keywords