Multivariate Risk Model of Phase Type

@inproceedings{Cai2004MultivariateRM,
  title={Multivariate Risk Model of Phase Type},
  author={Jun Yu Jacinta Cai and Haijun Li},
  year={2004}
}
This paper is concerned with several types of ruin probabilities for a multivariate compound Poisson risk model, where the claim size vector follows a multivariate phase type distribution. First, an explicit representation for the convolution of a multivariate phase type distribution is derived, and then an explicit formula for the ruin probability that the total claim surplus exceeds the total initial reserve in infinite horizon is obtained. Furthermore, the effect of the dependence among… CONTINUE READING
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