On simple ruin expressions in dependent Sparre Andersen risk models
Détails
Télécharger: BIB_C8E3EB5BD34A.P001.pdf (61.51 [Ko])
Etat: Public
Version: de l'auteur⸱e
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_C8E3EB5BD34A
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
On simple ruin expressions in dependent Sparre Andersen risk models
Périodique
Journal of Applied Probability
ISSN
0021-9002 (Print)
1475-6072 (Online)
1475-6072 (Online)
Statut éditorial
Publié
Date de publication
03/2014
Peer-reviewed
Oui
Volume
51
Numéro
1
Pages
293-296
Langue
anglais
Résumé
In this note we provide a simple alternative probabilistic derivation of an explicit formula of Kwan and Yang (2007) for the probability of ruin in a risk model with a certain dependence between general claim interoccurrence times and subsequent claim sizes of conditionally exponential type. The approach puts the type of formula in a general context, illustrating the potential for similar simple ruin probability expressions in more general risk models with dependence.
Mots-clé
Sparre Andersen risk model, ruin probability, Markov additive process
Web of science
Création de la notice
12/05/2013 17:56
Dernière modification de la notice
20/08/2019 15:43