Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times

In this paper we relax the independence assumption of claim sizes and claim occurrence times in the Sparre Andersen model. We consider two different classes of bivariate distributions to model claim occurrence and claim sizes. We obtain explicit expressions for the ultimate ruin probability using the well known Wiener-Hopf factorization.

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Year of publication:	2009
Authors:	Ambagaspitiya, Rohana S.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 3, p. 464-472
Publisher:	Elsevier
Keywords:	Bivariate exponential Bivariate gamma Dependent claim sizes and claim counts Ultimate ruin probability

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

Persistent link: https://www.econbiz.de/10004973654