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 language | English |
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Place of Publication | Eindhoven |
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Publisher | Eurandom |
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Number of pages | 4 |
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Publication status | Published - 2012 |
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Name | Report Eurandom |
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Volume | 2012024 |
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ISSN (Print) | 1389-2355 |
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