Matches in SemOpenAlex for { <https://semopenalex.org/work/W1535100275> ?p ?o ?g. }
Showing items 1 to 78 of
78
with 100 items per page.
- W1535100275 endingPage "24" @default.
- W1535100275 startingPage "4" @default.
- W1535100275 abstract "We consider a main insurance company with K subcompanies (or lines of busi- ness). The joint evolution of the surpluses of these lines of business is modeled by a Markov-modulated multivariate compound Poisson model with Poisson common shocks, modified by interactions between the lines of business and paiement of divi- dends. We assume that the financial situation of the subcompanies has an impact on the other companies, for example because they have part of their surplus invested in one another. If a line of business is in the red, the others have to pay a penalty, which is traduced by a decrease of the premium received by unit of time, or by a lost of dividends for the shareholders if the other line of business is doing well. Conversely, a line of business with a high surplus level may increase the premium by unit of time of the others as they receive part of the dividends. In this paper, we focus on a particular line of business, and provide an approximation for expected time to ruin, and the expected amounts of dividends paid to the shareholders, and used to pay penalty due to insolvency of some subcompany. The method is to discretize claim amounts and to approximate the multidimensional surplus process of the subcompanies with a continuous time Markov process with finite state space. A technique of Frostig (2005) and Kella and Whitt (1992) enables us to get approximates, which are shown to converge to the desired values. It is possible to compare the behavior of the main company with and without the other subcompanies, which could provide a tool to help making consortium building decision." @default.
- W1535100275 created "2016-06-24" @default.
- W1535100275 creator A5046523429 @default.
- W1535100275 date "2004-01-01" @default.
- W1535100275 modified "2023-09-25" @default.
- W1535100275 title "Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks" @default.
- W1535100275 cites W1585105899 @default.
- W1535100275 cites W1972972798 @default.
- W1535100275 cites W2042773923 @default.
- W1535100275 cites W2080039722 @default.
- W1535100275 cites W2119098405 @default.
- W1535100275 cites W2158638328 @default.
- W1535100275 cites W2184910549 @default.
- W1535100275 hasPublicationYear "2004" @default.
- W1535100275 type Work @default.
- W1535100275 sameAs 1535100275 @default.
- W1535100275 citedByCount "0" @default.
- W1535100275 crossrefType "journal-article" @default.
- W1535100275 hasAuthorship W1535100275A5046523429 @default.
- W1535100275 hasConcept C100906024 @default.
- W1535100275 hasConcept C10138342 @default.
- W1535100275 hasConcept C105795698 @default.
- W1535100275 hasConcept C116168712 @default.
- W1535100275 hasConcept C149782125 @default.
- W1535100275 hasConcept C159886148 @default.
- W1535100275 hasConcept C162118730 @default.
- W1535100275 hasConcept C162324750 @default.
- W1535100275 hasConcept C198352243 @default.
- W1535100275 hasConcept C2524010 @default.
- W1535100275 hasConcept C33923547 @default.
- W1535100275 hasConcept C4163816 @default.
- W1535100275 hasConcept C504631918 @default.
- W1535100275 hasConcept C98763669 @default.
- W1535100275 hasConceptScore W1535100275C100906024 @default.
- W1535100275 hasConceptScore W1535100275C10138342 @default.
- W1535100275 hasConceptScore W1535100275C105795698 @default.
- W1535100275 hasConceptScore W1535100275C116168712 @default.
- W1535100275 hasConceptScore W1535100275C149782125 @default.
- W1535100275 hasConceptScore W1535100275C159886148 @default.
- W1535100275 hasConceptScore W1535100275C162118730 @default.
- W1535100275 hasConceptScore W1535100275C162324750 @default.
- W1535100275 hasConceptScore W1535100275C198352243 @default.
- W1535100275 hasConceptScore W1535100275C2524010 @default.
- W1535100275 hasConceptScore W1535100275C33923547 @default.
- W1535100275 hasConceptScore W1535100275C4163816 @default.
- W1535100275 hasConceptScore W1535100275C504631918 @default.
- W1535100275 hasConceptScore W1535100275C98763669 @default.
- W1535100275 hasIssue "14" @default.
- W1535100275 hasLocation W15351002751 @default.
- W1535100275 hasOpenAccess W1535100275 @default.
- W1535100275 hasPrimaryLocation W15351002751 @default.
- W1535100275 hasRelatedWork W122961544 @default.
- W1535100275 hasRelatedWork W13735998 @default.
- W1535100275 hasRelatedWork W1695775090 @default.
- W1535100275 hasRelatedWork W2072708847 @default.
- W1535100275 hasRelatedWork W2080634005 @default.
- W1535100275 hasRelatedWork W2083710508 @default.
- W1535100275 hasRelatedWork W2167525369 @default.
- W1535100275 hasRelatedWork W2310654034 @default.
- W1535100275 hasRelatedWork W2940581545 @default.
- W1535100275 hasRelatedWork W2952356052 @default.
- W1535100275 hasRelatedWork W3005192651 @default.
- W1535100275 hasRelatedWork W3022726368 @default.
- W1535100275 hasRelatedWork W3026165196 @default.
- W1535100275 hasRelatedWork W3091910900 @default.
- W1535100275 hasRelatedWork W3117821949 @default.
- W1535100275 hasRelatedWork W3121937137 @default.
- W1535100275 hasRelatedWork W3123291730 @default.
- W1535100275 hasRelatedWork W3125869649 @default.
- W1535100275 hasRelatedWork W45935682 @default.
- W1535100275 hasRelatedWork W2613530975 @default.
- W1535100275 hasVolume "7" @default.
- W1535100275 isParatext "false" @default.
- W1535100275 isRetracted "false" @default.
- W1535100275 magId "1535100275" @default.
- W1535100275 workType "article" @default.