Year 2008,
Volume: 1 Issue: 3, 144 - 163, 01.09.2008
Abstract
Keywords
References
- Ambagaspitiya, R.S., 1998, On the distribution of a sum of correlated aggregate claims, Insurance: Mathematics and Economics 23, 15-19.
- Ambagaspitiya, R.S., 1999, On the distributions of two classes of correlated aggregate claims, Insurance: Mathematics and Economics 24, 301-308.
- Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A., Nesbitt, C.J., 1997, Actuarial Mathematics, Society of Actuaries, Schaumburg, IL.
- Christ, R. and Steinebach, J., 1995, Estimating the adjustment coefficient in an ARMA(p,q) risk model, Insurance: Mathematics and Economics 17, 149-161.
- Cossette, H., Denuit, M., Marceau, E., 2000, Impact of dependence among multiple claims in a single loss, Insurance: Mathematics and Economics 26, 213-222.
- Cossette, H., Marceau, E., 2000, The discrete-time risk model with correlated classes of business, Insurance: Mathematics and Economics 26, 133-149.
- Denuit, M., Genest, C., Marceau, E, 1999, Stochastic bounds on sums of dependent risks, Insurance: Mathematics and Economics 25, 85-104.
- Dhaene, J., Goovaerts, M.J., 1997, On the dependency of risks in the individual life model, Insurance: Mathematics and Economics 19, 243-253.
- Gerber, H.U., 1982, Ruin theory in the linear model, Insurance: Mathematics and Economics 1, 177-184.
- Müller, A., Pflug, G., 2001, Asymptotic ruin probabilities for risk processes with dependent increments, Insurance: Mathematics and Economics 28, 381-392.
- Promislow, S.D., 1991, The probability of ruin in a process with dependent increments, Insurance: Mathematics and Economics 10, 99-107.
- Ribas, C., Marin-Solano, J., Alegre, A, 2003, On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies, Insurance: Mathematics and Economics 32, 201-215.
- Wang, S., 1998, Aggregation of correlated risk portfolios: Models and algorithms, In: Proceedings of the Casualty Actuarial Society, pp. 848-939.
- Wu, X., Yuen, K.C., 2003, A discrete-time risk model with interaction between classes of business, Insurance: Mathematics and Economics 33, 117-133.
- Yang, H., Zhang, L., 2003, Martingale method for ruin probability in an autoregressive model with constant interest rate, Probability in the engineering and informational sciences 17, 183-198.
- Zhang, L., 2005, Ruin probability in linear time series model, Tsinghua Science and Technology 2, 259-264.
- Zhang, Z., Yuen, K.C., Li, W.K., 2007, A time-series risk model with constant interest for dependent classes of business, Insurance: Mathematics and Economics 41, 32-40.
Year 2008,
Volume: 1 Issue: 3, 144 - 163, 01.09.2008
Abstract
Aktüeryal risk modelleri genellikle bağımsızlık varsayımları altında kurulur. Ancak bu varsayımlar, çeşitli sebeplerle poliçeler arasında bağımlılık oluşması ya da herhangi bir dönemdeki hasarlar ile geçmiş dönemlerde gerçekleşmiş hasarlar arasında ilişki oluşması gibi durumlarda sağlanmaz. Bu çalışmada, bağımlı sigorta kollarından oluşan bir portföydeki bağımlı sigorta kollarına ait prim ve hasar değişkenlerinin kendi gecikmeli değerleri ve portföydeki bağımlı sigorta kollarına ait tüm prim ve hasar değişkenlerinin gecikmeli değerleri ile açıklandığı çok değişkenli birinci derece otoregresif model ve modelin çeşitli koşullardaki davranışları sayısal örneklerle incelenmiştir
References
- Ambagaspitiya, R.S., 1998, On the distribution of a sum of correlated aggregate claims, Insurance: Mathematics and Economics 23, 15-19.
- Ambagaspitiya, R.S., 1999, On the distributions of two classes of correlated aggregate claims, Insurance: Mathematics and Economics 24, 301-308.
- Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A., Nesbitt, C.J., 1997, Actuarial Mathematics, Society of Actuaries, Schaumburg, IL.
- Christ, R. and Steinebach, J., 1995, Estimating the adjustment coefficient in an ARMA(p,q) risk model, Insurance: Mathematics and Economics 17, 149-161.
- Cossette, H., Denuit, M., Marceau, E., 2000, Impact of dependence among multiple claims in a single loss, Insurance: Mathematics and Economics 26, 213-222.
- Cossette, H., Marceau, E., 2000, The discrete-time risk model with correlated classes of business, Insurance: Mathematics and Economics 26, 133-149.
- Denuit, M., Genest, C., Marceau, E, 1999, Stochastic bounds on sums of dependent risks, Insurance: Mathematics and Economics 25, 85-104.
- Dhaene, J., Goovaerts, M.J., 1997, On the dependency of risks in the individual life model, Insurance: Mathematics and Economics 19, 243-253.
- Gerber, H.U., 1982, Ruin theory in the linear model, Insurance: Mathematics and Economics 1, 177-184.
- Müller, A., Pflug, G., 2001, Asymptotic ruin probabilities for risk processes with dependent increments, Insurance: Mathematics and Economics 28, 381-392.
- Promislow, S.D., 1991, The probability of ruin in a process with dependent increments, Insurance: Mathematics and Economics 10, 99-107.
- Ribas, C., Marin-Solano, J., Alegre, A, 2003, On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies, Insurance: Mathematics and Economics 32, 201-215.
- Wang, S., 1998, Aggregation of correlated risk portfolios: Models and algorithms, In: Proceedings of the Casualty Actuarial Society, pp. 848-939.
- Wu, X., Yuen, K.C., 2003, A discrete-time risk model with interaction between classes of business, Insurance: Mathematics and Economics 33, 117-133.
- Yang, H., Zhang, L., 2003, Martingale method for ruin probability in an autoregressive model with constant interest rate, Probability in the engineering and informational sciences 17, 183-198.
- Zhang, L., 2005, Ruin probability in linear time series model, Tsinghua Science and Technology 2, 259-264.
- Zhang, Z., Yuen, K.C., Li, W.K., 2007, A time-series risk model with constant interest for dependent classes of business, Insurance: Mathematics and Economics 41, 32-40.
There are 17 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | September 1, 2008 |
| Published in Issue | Year 2008 Volume: 1 Issue: 3 |