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Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times

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Author Info
Ambagaspitiya, Rohana S.
Abstract

In this paper we relax the independence assumption of claim sizes and claim occurrence times in the Sparre Andersen model. We consider two different classes of bivariate distributions to model claim occurrence and claim sizes. We obtain explicit expressions for the ultimate ruin probability using the well known Wiener-Hopf factorization.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4VDY7W4-1/2/9f9ec0b6520cbbafda7f5d4da53fb475
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 44 (2009)
Issue (Month): 3 (June)
Pages: 464-472
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Handle: RePEc:eee:insuma:v:44:y:2009:i:3:p:464-472

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Web page: http://www.elsevier.com/locate/inca/505554

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Related research
Keywords: Bivariate exponential Bivariate gamma Dependent claim sizes and claim counts Ultimate ruin probability;

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This page was last updated on 2009-12-3.

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