On a risk model with dependence between the claim sizes and claim intervals | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/141059

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Title: On a risk model with dependence between the claim sizes and claim intervals
Related: Statistics and probability letters, Vol. 78, No. 13, (2008), p.1727-1734
DOI: 10.1016/j.spl.2008.01.031
Publisher: Elsevier
Date: 2008
Author/Creator: Meng, Qingbin
Author/Creator: Zhang, Xin
Author/Creator: Guo, Junyi
Description: This paper constructs a model with a dependent setting where the time between two claim occurrences determines the distribution of the next claim size. We derive the exact expression of the survival probability for the exponentially distributed claim sizes. For the generally distributed claim sizes, the upper bound and the approximation for the ruin probability are obtained.
Description: 8 page(s)
Resource Type: journal article
Organisation: Macquarie University. Dept. of Applied Finance and Actuarial Studies

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