Article: article from journal or magazin.
On simple ruin expressions in dependent Sparre Andersen risk models
Journal of Applied Probability
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.
Sparre Andersen risk model, ruin probability, Markov additive process
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