publication . Article . Other literature type . 2006

On a risk model with dependence between interclaim arrivals and claim sizes

Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne;
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  • Published: 01 Sep 2006 Journal: Scandinavian Actuarial Journal, volume 2,006, pages 265-285 (issn: 0346-1238, eissn: 1651-2030, Copyright policy)
  • Publisher: Informa UK Limited
Abstract
We consider an extension to the classical compound Poisson risk model for which the increments of the aggregate claim amount process are independent. In Albrecher and Teugels (2006), an arbitrary dependence structure among the interclaim time and the subsequent claim size expressed through a copula is considered and they derived asymptotic results for both the finite and infinite-time ruin probabilities. In this paper, we consider a particular dependence structure among the interclaim time and the subsequent claim size and we derive the defective renewal equation satisfied by the expected discounted penalty function. Based on the compound geometric tail represen...
Subjects
arXiv: Mathematics::Probability
free text keywords: Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability, Special case, Ruin theory, Laplace transform, Poisson distribution, symbols.namesake, symbols, Expression (mathematics), Risk model, Copula (linguistics), Penalty method, Mathematics, Statistics
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publication . Article . Other literature type . 2006

On a risk model with dependence between interclaim arrivals and claim sizes

Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne;