A ruin model with dependence between claim sizes and claim intervals

被引：132

作者：

Albrecher, H

Boxma, OJ

机构：

[1] Graz Univ Technol, A-8010 Graz, Austria

[2] Eindhoven Univ Technol, NL-5600 MB Eindhoven, Netherlands

[3] EURANDOM, NL-5600 MB Eindhoven, Netherlands

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2004年 / 35卷 / 02期

关键词：

ruin model; dependence; ruin probability; Laplace transform;

D O I：

10.1016/j.insmatheco.2003.09.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：245 / 254

页数：10

共 14 条

[11] Asymptotic ruin probabilities for risk processes with dependent increments [J].