On simple ruin expressions in dependent Sparre Andersen risk models

Details

Ressource 1Download: BIB_C8E3EB5BD34A.P001.pdf (61.51 [Ko])
State: Public
Version: author
Serval ID
serval:BIB_C8E3EB5BD34A
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On simple ruin expressions in dependent Sparre Andersen risk models
Journal
Journal of Applied Probability
Author(s)
Albrecher H., Boxma O.J., Ivanovs J.
ISSN
0021-9002 (Print)
1475-6072 (Online)
Publication state
Published
Issued date
03/2014
Peer-reviewed
Oui
Volume
51
Number
1
Pages
293-296
Language
english
Abstract
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.
Keywords
Sparre Andersen risk model, ruin probability, Markov additive process
Web of science
Create date
12/05/2013 18:56
Last modification date
20/08/2019 16:43
Usage data