On simple ruin expressions in dependent Sparre Andersen risk models

H. Albrecher, O.J. Boxma, J. Ivanovs

Research output: Book/ReportReportAcademic

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Abstract

In this note we provide a simple alternative derivation of an explicit formula of Kwan and Yang [14] 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.
Original languageEnglish
Place of PublicationEindhoven
PublisherEurandom
Number of pages4
Publication statusPublished - 2012

Publication series

NameReport Eurandom
Volume2012024
ISSN (Print)1389-2355

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