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

Rohana S. Ambagaspitiya

Insurance: Mathematics and Economics, 2009, vol. 44, issue 3, pages 464-472

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.

Keywords: Bivariate; exponential; Bivariate; gamma; Dependent; claim; sizes; and; claim; counts; Ultimate; ruin; probability (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:3:p:464-472

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