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On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

Published online by Cambridge University Press:  30 January 2018

Hansjörg Albrecher*
Affiliation:
University of Lausanne
Onno J. Boxma*
Affiliation:
Eindhoven University of Technology and EURANDOM
Jevgenijs Ivanovs*
Affiliation:
University of Lausanne
*
Postal address: Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland.
∗∗ Postal address: Eindhoven University of Technology, PO Box 513, 5600 MB Eindhoven, The Netherlands. Email address: o.j.boxma@tue.nl
Postal address: Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland.
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Abstract

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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.

Type
Research Article
Copyright
© Applied Probability Trust 

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