A ruin model with dependence between claim sizes and claim intervals
نویسندگان
چکیده
منابع مشابه
A Ruin Model with Dependence between Claim Sizes and Claim Intervals
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.
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Let C1, C2, . . . , Cm be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x+ct−C(t). The ruin probability is given by the well known Pollaczek-Hinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators whose sum constitutes C. Formulae for the probability that ruin is caused by Ci are...
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We generalize an integral representation for the ruin probability in a Crámer-Lundberg risk model with shifted (or also called US-)Pareto claim sizes, obtained by Ramsay [14], to classical Pareto(a) claim size distributions with arbitrary real values a > 1 and derive its asymptotic expansion. Furthermore an integral representation for the tail of compound sums of Pareto-distributed claims is ob...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2004
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2003.09.009