On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

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 app...

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Bibliographic Details
Published in:Journal of applied probability 2014-03, Vol.51 (1), p.293-296
Main Authors: Albrecher, Hansjörg, Boxma, Onno J., Ivanovs, Jevgenijs
Format: Article
Language:English
Subjects:
60K20
91B30
97M30
Derivation
Economic models
Eigenvalues
Insurance claims
Insurance risk
Markov additive process
Markov chains
Markov processes
Mathematical models
Mathematical problems
Mathematics
Modeling
Probabilistic methods
Probability
Probability theory
Random variables
Risk
Risk assessment
ruin probability
Short Communications
Sparre Andersen risk model
Studies
Time dependence
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Summary: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.
ISSN:0021-9002
1475-6072
DOI:10.1239/jap/1395771431