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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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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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container_end_page	296
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container_title	Journal of applied probability
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creator	Albrecher, Hansjörg Boxma, Onno J. Ivanovs, Jevgenijs
description	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.
doi_str_mv	10.1239/jap/1395771431
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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
title	On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
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