On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models. (30th January 2018)
- Record Type:
- Journal Article
- Title:
- On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models. (30th January 2018)
- Main Title:
- On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
- Authors:
- Albrecher, Hansjörg
Boxma, Onno J.
Ivanovs, Jevgenijs - 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.
- Is Part Of:
- Journal of applied probability. Volume 51:Number 1(2014)
- Journal:
- Journal of applied probability
- Issue:
- Volume 51:Number 1(2014)
- Issue Display:
- Volume 51, Issue 1 (2014)
- Year:
- 2014
- Volume:
- 51
- Issue:
- 1
- Issue Sort Value:
- 2014-0051-0001-0000
- Page Start:
- 293
- Page End:
- 296
- Publication Date:
- 2018-01-30
- Subjects:
- Sparre Andersen risk model, -- ruin probability, -- Markov additive process
91B30, -- 97M30, -- 60K20
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1239/jap/1395771431 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 6058.xml