Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times

E.S. Badila, O.J. Boxma and J.A.C. Resing

Insurance: Mathematics and Economics, 2015, vol. 61, issue C, 48-61

Abstract: We investigate an insurance risk model that consists of two reserves which receive income at fixed rates. Claims are being requested at random epochs from each reserve and the interclaim times are generally distributed. The two reserves are coupled in the sense that at a claim arrival epoch, claims are being requested from both reserves and the amounts requested are correlated. In addition, the claim amounts are correlated with the time elapsed since the previous claim arrival.

Keywords: Insurance risk; Multivariate ruin probability; Reinsurance; Dependence; Duality; Parallel queues; Bivariate waiting time (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:61:y:2015:i:c:p:48-61

DOI: 10.1016/j.insmatheco.2014.12.003

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