A ruin model with dependence between claim sizes and claim intervals

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Type
Article: article from journal or magazin.
Collection
Publications
Institution
Production externe
Title
A ruin model with dependence between claim sizes and claim intervals
Journal
Insurance: Mathematics and Economics
Author(s)
Albrecher H., Boxma O.
ISSN
0167-6687
Publication state
Published
Issued date
2004
Peer-reviewed
Oui
Volume
35
Number
2
Pages
245-254
Language
english
Abstract
We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples.
Keywords
Ruin model, Dependence, Ruin probability, Laplace transform
DOI
10.1016/j.insmatheco.2003.09.009
Web of science
000224494500005
Create date
12/05/2009 11:54
Last modification date
20/08/2019 16:41
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