On the first time of ruin in the bivariate compound Poisson model (Q2492175): Difference between revisions

The authors consider a bivariate compound Poisson model describing a book of two dependent classes of insurance businesses. They define ruin as the event that at least one class of business will get ruined. It is shown that the \(n\)-year bivariate ruin probability of the model can be approximated by the \(n\)-year bivariate ruin probability of the so-called bivariate compound binomial model. The performance of the approximation is assessed by a simulation study. Since, due to the dependence structure, it seems impossible to get a closed-form solution for the infinite-time ruin probability for the proposed bivariate compound Poisson model, the authors construct some bounds for it using the association properties of the model, and perform a numerical example to examine the tightness of the bounds. In the conclusion of the paper, they apply multivariate stochastic orders to obtain a result on the impact of dependence on the infinite-time ruin probability for the considered bivariate compound Poisson model.