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On a risk model with dependence between claim sizes and claim intervals

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  • Meng, Qingbin
  • Zhang, Xin
  • Guo, Junyi

Abstract

This paper constructs a model with a dependent setting where the time between two claim occurrences determines the distribution of the next claim size. We derive the exact expression of the survival probability for the exponentially distributed claim sizes. For the generally distributed claim sizes, the upper bound and the approximation for the ruin probability are obtained.

Suggested Citation

  • Meng, Qingbin & Zhang, Xin & Guo, Junyi, 2008. "On a risk model with dependence between claim sizes and claim intervals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1727-1734, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:13:p:1727-1734
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    References listed on IDEAS

    as
    1. Muller, Alfred & Pflug, Georg, 2001. "Asymptotic ruin probabilities for risk processes with dependent increments," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 381-392, June.
    2. Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
    3. Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
    4. Albrecher Hansjörg & Kantor Josef, 2002. "Simulation of ruin probabilities for risk processes of Markovian type," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 111-128, December.
    5. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2002. "On a correlated aggregate claims model with Poisson and Erlang risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 205-214, October.
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    Cited by:

    1. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    2. Zhou, Zhongbao & Xiao, Helu & Deng, Yingchun, 2015. "Markov-dependent risk model with multi-layer dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 273-286.

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