On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models. (March 2014)

• Record Type: Journal Article
• Authors: Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs
• Is Part Of: Journal of applied probability. Volume 51:Number A(2014)
• Page Start: 293
• Page End: 296
• Publication Date: 2014-03
• Subjects: Sparre Andersen risk model, -- ruin probability, -- Markov additive process; 91B30, -- 97M30, -- 60K20; 519.2
• DOI: 10.1017/S0021900200010251
• Languages: English
• ISSNs: 0021-9002

Abstract

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.