Exponential behavior in the presence of dependence in risk theory

H. Albrecher, J.L. Teugels

Research output: Contribution to journalArticleAcademicpeer-review

118 Citations (Scopus)


We consider an insurance portfolio situation in which there is possible dependence between the waiting time for a claim and its actual size. By employing the underlying random walk structure we obtain explicit exponential estimates for infinite- and finite-time ruin probabilities in the case of light-tailed claim sizes. The results are illustrated in several examples, worked out for specific dependence structures.
Original languageEnglish
Pages (from-to)257-273
JournalJournal of Applied Probability
Issue number1
Publication statusPublished - 2006


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