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Document type:
Zeitungsartikel 
Author(s):
Behme, A., Klüppelberg, C., and Reinert, G. 
Title:
Hitting probabilities for compound Poisson processes in a bipartite network 
Abstract:
This article studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is induced by a random bipartite network. In analogy with the non-network scenario, a network ruin parameter is introduced. This random parameter, which depends on the bipartite network, is crucial for the ruin probabilities. Under certain conditions on the network a...    »
 
Keywords:
bipartite network, Cramér-Lundberg bound, exponential jump distribution, first passage probability, hitting probability, load balancing network, multivariate compound Poisson process, multivariate ruin theory, Poisson approximation, Pollaczek-Khintchine formula, queueing theory, risk balancing network. 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Stochastic Models 
Year:
2020 
Year / month:
2020-05 
Quarter:
2. Quartal 
Month:
May 
Pages contribution:
1-26 
Language:
en 
WWW:
_blank 
Publisher:
Taylor & Francis 
Status:
Verlagsversion / published 
Accepted:
21.04.2020 
Date of publication:
13.05.2020 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text