Pregled bibliografske jedinice broj: 712208
On the ruin probabilities of a multidimensional risk model
On the ruin probabilities of a multidimensional risk model // IFORS Barcelona 2014 / S. Nickel, S. Anily, N. Boland, L. Brotcorne (ur.).
Barcelona, 2014. str. 164-164 (predavanje, nije recenziran, sažetak, znanstveni)
CROSBI ID: 712208 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
On the ruin probabilities of a multidimensional risk model
Autori
Slijepčević-Manger Tatjana
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni
Izvornik
IFORS Barcelona 2014
/ S. Nickel, S. Anily, N. Boland, L. Brotcorne - Barcelona, 2014, 164-164
Skup
20th CONFERENCE OF THE INTERNATIONAL FEDERATION OF OPERATIONAL RESEARCH SOCIETIES
Mjesto i datum
Barcelona, Španjolska, 13.07.2014. - 18.07.2014
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Nije recenziran
Ključne riječi
multidimensional risk model; ruin probability
Sažetak
Multidimensional models with common arrival process describe situations where each claim event produces more than one type of claim. One example is motor insurance where an accident could cause claims for different types of bodily injuries and property damages. We consider multidimensional insurance risk model perturbed by Brownian motion. An explicit asymptotic estimate is obtained for the finite-time ruin probability in the heavy-tailed claims case.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Građevinski fakultet, Zagreb
