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Journal of Applied Probability Journal of Applied Probability

Article contents

On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

Part of: Special processes Mathematical modeling, applications of mathematics Mathematical economics

Published online by Cambridge University Press:  30 January 2018

Hansjörg Albrecher ,
Onno J. Boxma  and
Jevgenijs Ivanovs
Hansjörg Albrecher
Affiliation:
University of Lausanne
Onno J. Boxma
Affiliation:
Eindhoven University of Technology and EURANDOM
Jevgenijs Ivanovs
Affiliation:
University of Lausanne
Corresponding
E-mail address:
o.j.boxma@tue.nl
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Abstract

In this note we provide a simple alternative probabilistic derivation of an explicit formula of Kwan and Yang (2007) for the probability of ruin in a risk model with a certain dependence between general claim interoccurrence 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.

Keywords

Sparre Andersen risk model ruin probability Markov additive process

MSC classification

Primary: 91B30: Risk theory, insurance 97M30: Financial and insurance mathematics 60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)
Type
Research Article
Information
Journal of Applied Probability , Volume 51 , Issue 1 , March 2014 , pp. 293 - 296
Copyright
© Applied Probability Trust 

References

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