On simple ruin expressions in dependent Sparre Andersen risk models

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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
Auteur⸱e⸱s
Albrecher H., Boxma O.J., Ivanovs J.
ISSN
0021-9002 (Print)
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
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