Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times

DOI10.1016/j.insmatheco.2009.01.003zbMath1162.60339OpenAlexW1998946939MaRDI QIDQ1023110

Rohana S. Ambagaspitiya

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.01.003

zbMATH Keywords

ultimate ruin probabilitybivariate exponentialbivariate gammadependent claim sizes and claim counts

Mathematics Subject Classification ID

Related Items (15)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Queues and Risk Processes with Dependencies ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation ⋮ Efficient expressions for moments of dependent random sums using copulas ⋮ Ruin probabilities for Bayesian exchangeable claims processes ⋮ A note on discounted compound renewal sums under dependency ⋮ On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence ⋮ An Approximation Model of the Collective Risk Model with INAR(1) Claim Process ⋮ Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size ⋮ Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes ⋮ A note on compound renewal risk models with dependence ⋮ Ruin probabilities in models with a Markov chain dependence structure

Cites Work

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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the time to ruin for Erlang(2) risk processes.
• On a risk model with dependence between interclaim arrivals and claim sizes
• Probabilities of ruin
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin

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