A Ruin Model with Dependence between Claim Sizes and Claim Intervals
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چکیده
We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples.
منابع مشابه
Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
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تاریخ انتشار 2003