Dependent discrete risk processes - calculation of the probability of ruin

Stanisław Heilpern ()

Operations Research and Decisions, 2010, vol. 20, issue 2, 59-76

Abstract: This paper is devoted to discrete processes of dependent risks. The random variables describing the time between claims can be dependent in such processes, unlike under the classical approach. The ruin problem is investigated and the probably of ruin is computed. The relation between the degree of dependence and the probability of ruin is studied. Three cases are presented. Different methods of characterizing the dependency structure are examined. First, strictly dependent times between claims are investigated. Next, the dependency structure is described using an Archimedean copula or using Markov chains. In the last case, three situations in which the probability of ruin can be exactly computed are presented. Numerical examples in which the claims have a geometric distribution are investigated. A regular relation between the probability of ruin and the degree of dependence is only observed in the Markov chain case.

Keywords: risk process; probability of ruin; dependence; copula; Markov chain (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/162%20-%20published.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:2:y:2010:p:59-76

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski ().