In this note we provide a simple alternative derivation of an explicit formula of Kwan and Yang  for the probability of ruin in a risk model with a certain dependence between general claim inter-occurrence 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.
|Place of Publication||Eindhoven|
|Number of pages||4|
|Publication status||Published - 2012|