On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences

Serkan Eryilmaz

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 9, 2251-2258

Abstract: This article is concerned with a two-dimensional discrete time risk model based on exchangeable dependent claim occurrences. In particular, we obtain a recursive expression for the finite time non ruin probability under such a dependence among claim occurrences. For an illustration, we define a bivariate compound beta-binomial risk model and present numerical results on this model by comparing the corresponding results of the bivariate compound binomial risk model.

Date: 2018
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DOI: 10.1080/03610926.2017.1337145

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