Ruin under stochastic dependence between premium and claim arrivals. Issue 6 (3rd July 2018)

• Record Type: Journal Article
• Authors: Vidmar, Matija
• Is Part Of: Scandinavian actuarial journal. Volume 2018:Issue 6(2018)
• Page Start: 505
• Page End: 513
• Publication Date: 2018-07-03
• Subjects: Cramér–Lundberg model -- surplus process -- stochastic dependence -- probability of ruin; Insurance, Life -- Mathematics -- Periodicals; Insurance -- Mathematics -- Periodicals; 368.01
• DOI: 10.1080/03461238.2017.1391114
• Languages: English
• ISSNs: 0346-1238

Abstract

Abstract : We investigate, focusing on the ruin probability, an adaptation of the Cramér–Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a model exhibits a stochastic dependence between the aggregate premium and claim amount processes. An explicit expression for the ruin probability is obtained when the claim and premium sizes are exponentially distributed.