A ruin model with dependence between claim sizes and claim intervals

H. Albrecher; O.J. Boxma

doi:10.1016/j.insmatheco.2003.09.009

A ruin model with dependence between claim sizes and claim intervals

H. Albrecher
, O.J. Boxma

Research output: Contribution to journal › Article › Academic › peer-review

109 Citations (Scopus)

4 Downloads (Pure)

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.

Original language	English
Pages (from-to)	245-254
Journal	Insurance: Mathematics and Economics
Volume	35
Issue number	2
DOIs	https://doi.org/10.1016/j.insmatheco.2003.09.009
Publication status	Published - 2004

Access to Document

10.1016/j.insmatheco.2003.09.009

Cite this

@article{aa4209f37f03404e8714543f9a0055a0,

title = "A ruin model with dependence between claim sizes and claim intervals",

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.",

author = "H. Albrecher and O.J. Boxma",

year = "2004",

doi = "10.1016/j.insmatheco.2003.09.009",

language = "English",

volume = "35",

pages = "245--254",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier B.V.",

number = "2",

}

TY - JOUR

T1 - A ruin model with dependence between claim sizes and claim intervals

AU - Albrecher, H.

AU - Boxma, O.J.

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

U2 - 10.1016/j.insmatheco.2003.09.009

DO - 10.1016/j.insmatheco.2003.09.009

M3 - Article

SN - 0167-6687

VL - 35

SP - 245

EP - 254

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 2

ER -

A ruin model with dependence between claim sizes and claim intervals

Abstract

Access to Document

Fingerprint

Cite this