2026-04-17T22:57:21Zhttps://recercat.cat/oai/requestoai:recercat.cat:2445/1027822025-12-05T05:56:44Zcom_2072_1057col_2072_478917col_2072_478919
Survival probabilities in bivariate risk models, with application to reinsurance
Castañer, Anna
Claramunt Bielsa, M. Mercè
Lefèvre, Claude
Models matemàtics
Risc (Assegurances)
Risc (Economia)
Mathematical models
Risk (Insurance)
Risk
This paper deals with an insurance portfolio that covers two interdependent risks. The central model is a discrete-time bivariate risk process with independent claim increments. A continuous-time version of compound Poisson type is also examined. Our main purpose is to develop a numerical method for determining non-ruin probabilities over a finite-time horizon. The approach relies on, and exploits, the existence of a special algebraic structure of Appell type. Some applications in reinsurance to the joint risks of the cedent and the reinsurer are presented and discussed, under a stop-loss or excess of loss contract.
2016-10-20T07:01:23Z
2016-10-20T07:01:23Z
2013-11
2016-10-20T07:01:28Z
info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
0167-6687
https://hdl.handle.net/2445/102782
628536
eng
Versió postprint del document publicat a: http://dx.doi.org/10.1016/j.insmatheco.2013.09.001
Insurance Mathematics and Economics, 2013, vol. 53, num. 3, p. 632-642
http://dx.doi.org/10.1016/j.insmatheco.2013.09.001
(c) Elsevier B.V., 2013
info:eu-repo/semantics/openAccess
11 p.
application/pdf
Elsevier B.V.
Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)