On a multi-dimensional risk model with regime switching
Year of publication: |
May 2016
|
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Authors: | Wang, Guanqing ; Wang, Guojing ; Yang, Hailiang |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 68.2016, p. 73-83
|
Subject: | Correlated risk model | Cox process | Joint ruin probability | Modified Bessel function | Multi-dimensional risk models | Regime switching | Time of ruin | Upper bounds | Theorie | Theory | Risikomodell | Risk model | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Risikomanagement | Risk management | Kreditrisiko | Credit risk |
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