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Titel:

Ruin probabilities for risk processes in a bipartite network

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
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 Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Stochastic Models
Jahr:
2020
Band / Volume:
36
Jahr / Monat:
2020-05
Quartal:
2. Quartal
Monat:
May
Heft / Issue:
4
Seitenangaben Beitrag:
548-573
Sprache:
en
Volltext / DOI:
doi:10.1080/15326349.2020.1760109
Verlag / Institution:
Informa UK Limited
E-ISSN:
1532-63491532-4214
Hinweise:
Published online: 13 May 2020
Status:
Erstveröffentlichung
Eingereicht (bei Zeitschrift):
01.08.2019
Angenommen (von Zeitschrift):
21.04.2020
Publikationsdatum:
13.05.2020
Semester:
SS 20
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
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