On a risk model with dependence between claim sizes and claim intervals

This paper constructs a model with a dependent setting where the time between two claim occurrences determines the distribution of the next claim size. We derive the exact expression of the survival probability for the exponentially distributed claim sizes. For the generally distributed claim sizes, the upper bound and the approximation for the ruin probability are obtained.

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Year of publication:	2008
Authors:	Meng, Qingbin ; Zhang, Xin ; Guo, Junyi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1727-1734
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319376