On a risk model with dependence between claim sizes and claim intervals

Qingbin Meng, Xin Zhang and Junyi Guo

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1727-1734

Abstract: This paper constructs a model with a dependent setting where the time between two claim occurrences determines the distribution of the next claim size. We derive the exact expression of the survival probability for the exponentially distributed claim sizes. For the generally distributed claim sizes, the upper bound and the approximation for the ruin probability are obtained.

Date: 2008
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Citations: View citations in EconPapers (2)

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