On multivariate modifications of Cramer–Lundberg risk model with constant intensities

ABSTRACT

The paper considers very general multivariate modifications of Cramer–Lundberg risk model. The claims can be of different types and can arrive in groups. The groups arrival processes have constant intensities. The counting groups processes are dependent multivariate compound Poisson processes of Type I. We allow empty groups and show that in that case we can find stochastically equivalent Cramer–Lundberg model with non-empty groups. The investigated model generalizes the risk model with common shocks, the Poisson risk process of order k, the Poisson negative binomial, the Polya-Aeppli, the Polya-Aeppli of order k among others. All of them with one or more types of policies. The numerical characteristics, Cramer–Lundberg approximations, and probabilities of ruin are derived. During the paper, we show that the theory of these risk models intrinsically relates to the special types of integro differential equations. The probability solutions to such differential equations provide new insights, typically overseen from the standard point of view.

Keywords:

• Cramer–Lundberg risk model
• multivariate risk processes
• risk process approximations

MATHEMATICS SUBJECT CLASSIFICATION:

• Primary 62P05
• Secondary 60G10

Additional information

Funding

The work was supported by project Fondecyt Proyecto Regular No. 1151441, Project LIT-2016-1-SEE-023, and by the bilateral projects Bulgaria - Austria, 2016-2019, Contract number 01/8, 23/08/2017. We acknowledge WTZ Project No. BG 09/2017.