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On a class of dependent Sparre Andersen risk models and a bailout application

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  • Avram, F.
  • Badescu, A.L.
  • Pistorius, M.R.
  • Rabehasaina, L.

Abstract

In this paper a one-dimensional surplus process is considered with a certain Sparre Andersen type dependence structure under general interclaim times distribution and correlated phase-type claim sizes. The Laplace transform of the time to ruin under such a model is obtained as the solution of a fixed-point problem, under both the zero-delayed and the delayed cases. An efficient algorithm for solving the fixed-point problem is derived together with bounds that illustrate the quality of the approximation. A two-dimensional risk model is analyzed under a bailout type strategy with both fixed and variable costs and a dependence structure of the proposed type. Numerical examples and ideas for future research are presented at the end of the paper.

Suggested Citation

  • Avram, F. & Badescu, A.L. & Pistorius, M.R. & Rabehasaina, L., 2016. "On a class of dependent Sparre Andersen risk models and a bailout application," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 27-39.
    • Handle: RePEc:eee:insuma:v:71:y:2016:i:c:p:27-39
    DOI: 10.1016/j.insmatheco.2016.08.001
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    References listed on IDEAS

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    5. D'Auria, Bernardo & Kella, Offer & Ivanovs, Jevgenijs & Mandjes, Michel, 2010. "First passage of a Markov additive process and generalized Jordan chains," DES - Working Papers. Statistics and Econometrics. WS ws103923, Universidad Carlos III de Madrid. Departamento de Estadística.
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