Pregled bibliografske jedinice broj: 636321
The Ruin Probabilities of a Multidimensional Perturbed Risk Model
The Ruin Probabilities of a Multidimensional Perturbed Risk Model // EURO/INFORMS 26th European Conference on Operational Research MMXIII ROME / Marc Sevaux, David Simchi-Levi, Sally Brailsford (ur.).
Rim: euro/informs, 2013. str. TD-50 (predavanje, nije recenziran, sažetak, znanstveni)
CROSBI ID: 636321 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
The Ruin Probabilities of a Multidimensional Perturbed Risk Model
Autori
Slijepčević-Manger, Tatjana
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni
Izvornik
EURO/INFORMS 26th European Conference on Operational Research MMXIII ROME
/ Marc Sevaux, David Simchi-Levi, Sally Brailsford - Rim : Euro/informs, 2013, TD-50
Skup
EURO/INFORMS 26th European Conference on Operational Research MMXIII ROME
Mjesto i datum
Rim, Italija, 01.07.2013. - 04.07.2013
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Nije recenziran
Ključne riječi
multidimensional risk model; martingale; Poisson process; ruin probability
Sažetak
Multidimensional models with common arrival process describe situations where each claim event usually produces more than one type of claim. One common example is natural catastrophe insurance where an accident could cause claims for different types of bodily injuries and property damages. We consider a multidimensional insurance risk model perturbed by Brownian motion. An upper bound is derived for the ruin probability of this model.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
