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Title:

Ruin probabilities for risk processes in a bipartite network

Document type:
Zeitschriftenaufsatz
Author(s):
Behme, A.; Klüppelberg, C.; Reinert, G.
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 model, exponential claim size distribution, hitting probability, multivariate compound Poisson process, ruin theory, Poisson approximation, Pollaczek–Khintchine formula, risk balancing network
Dewey Decimal Classification:
510 Mathematik
Journal title:
Stochastic Models
Year:
2020
Journal volume:
36
Year / month:
2020-05
Quarter:
2. Quartal
Month:
May
Journal issue:
4
Pages contribution:
548-573
Language:
en
Fulltext / DOI:
doi:10.1080/15326349.2020.1760109
Publisher:
Informa UK Limited
E-ISSN:
1532-63491532-4214
Notes:
Published online: 13 May 2020
Status:
Erstveröffentlichung
Submitted:
01.08.2019
Accepted:
21.04.2020
Date of publication:
13.05.2020
Semester:
SS 20
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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