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On the first time of ruin in the bivariate compound Poisson model

Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan - In: Insurance: Mathematics and Economics 38 (2006) 2, pp. 298-308

Persistent link: https://www.econbiz.de/10005365521

A discrete-time risk model with interaction between classes of business

Wu, Xueyuan; Yuen, Kam C. - In: Insurance: Mathematics and Economics 33 (2003) 1, pp. 117-133

Persistent link: https://www.econbiz.de/10005374645

Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan - In: Insurance: Mathematics and Economics 31 (2002) 2, pp. 205-214

Persistent link: https://www.econbiz.de/10005375256

A Bayesian approach to parameter estimation for kernel density estimation via transformations

Liu, Qing; Pitt, David; Zhang, Xibin; Wu, Xueyuan - Department of Econometrics and Business Statistics, … - 2010

In this paper, we present a Markov chain Monte Carlo (MCMC) simulation algorithm for estimating parameters in the kernel density estimation of bivariate insurance claim data via transformations. Our data set consists of two types of auto insurance claim costs and exhibit a high-level of skewness...

Persistent link: https://www.econbiz.de/10008679042

On the probability of ruin in a Markov-modulated risk model

Lu, Yi; Li, Shuanming - In: Insurance: Mathematics and Economics 37 (2005) 3, pp. 522-532

Persistent link: https://www.econbiz.de/10005374758

On ruin for the Erlang(n) risk process

Li, Shuanming; Garrido, Jose - In: Insurance: Mathematics and Economics 34 (2004) 3, pp. 391-408

Persistent link: https://www.econbiz.de/10005374762

The maximum surplus before ruin in an Erlang(n) risk process and related problems

Li, Shuanming; Dickson, David C.M. - In: Insurance: Mathematics and Economics 38 (2006) 3, pp. 529-539

Persistent link: https://www.econbiz.de/10005374803

On the expected discounted penalty functions for two classes of risk processes

Li, Shuanming; Lu, Yi - In: Insurance: Mathematics and Economics 36 (2005) 2, pp. 179-193

Persistent link: https://www.econbiz.de/10005375147

On a class of renewal risk models with a constant dividend barrier

Li, Shuanming; Garrido, Jose - In: Insurance: Mathematics and Economics 35 (2004) 3, pp. 691-701

Persistent link: https://www.econbiz.de/10005375300

The distribution of total dividend payments in a Sparre Andersen model

Li, Shuanming; Lu, Yi - In: Statistics & Probability Letters 79 (2009) 9, pp. 1246-1251

We study the distribution of the total dividend payments in a Sparre Andersen model with phase-type inter-claim times in the presence of a constant dividend barrier. This paper shows that the distribution of the total dividend payments prior to the time of ruin is a mixture of a degenerate...

Persistent link: https://www.econbiz.de/10005023096