On simple ruin expressions in dependent Sparre Andersen risk models

• Autores: Hansjörg Albrecher, Onno J. Boxma, Jevgenijs Ivanovs
• Localización: Journal of Applied Probability, ISSN-e 0021-9002, Vol. 51, Nº. 1, 2014, págs. 293-296
• Idioma: inglés
• DOI: 10.1239/jap/1395771431
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• Resumen

  • In this note we provide a simple alternative probabilistic derivation of an explicit formula of Kwan and Yang (2007) for the probability of ruin in a risk model with a certain dependence between general claim interoccurrence times and subsequent claim sizes of conditionally exponential type. The approach puts the type of formula in a general context, illustrating the potential for similar simple ruin probability expressions in more general risk models with dependence