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Ruin under stochastic dependence between premium and claim arrivals

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  • Matija Vidmar

Abstract

We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a model exhibits a stochastic dependence between the aggregate premium and claim amount processes. An explicit expression for the ruin probability is obtained when the claim and premium sizes are exponentially distributed.

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  • Matija Vidmar, 2016. "Ruin under stochastic dependence between premium and claim arrivals," Papers 1602.04580, arXiv.org, revised Jun 2017.
    • Handle: RePEc:arx:papers:1602.04580
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    References listed on IDEAS

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    1. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    2. Chuancun Yin & Yuzhen Wen & Zhaojun Zong & Ying Shen, 2013. "The first passage time problem for mixed-exponential jump processes with applications in insurance and finance," Papers 1302.6762, arXiv.org, revised Jun 2014.
    3. Zhou, Ming & Cai, Jun, 2009. "A perturbed risk model with dependence between premium rates and claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 382-392, December.
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