Probability of ruin for a dependent, two-dimensional Poisson process

Stanisław Heilpern ()

Operations Research and Decisions, 2009, vol. 19, issue 1, 77-90

Abstract: A two-dimensional, dependent Poisson risk process is investigated in the paper. Claims are divided into two classes. Within each class claims have the same distribution, but claims belonging to different classes can have different distributions and the corresponding counting processes can be dependent. This dependence is induced by a common factor. Three models of ruin and the probabilities of ruin are investigated. The influence of the degree of class dependence on the probability of ruin are studied for each model.

Keywords: Poisson process; claim; model of ruin; simulation; phase-type distribution (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:1:y:2009:p:77-90

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