PL EN


2012 | 10(16) | 57-68
Article title

Risk processes with dependent claim size and claim occurrence times

Title variants
Languages of publication
EN
Abstracts
EN
The paper is devoted to the risk process, when the claim amount and the interclaim times may be dependent. The impact of the degree of dependence on the probability of ruin is investigated. The three cases are studied: the case when the joint distribution has the bivariate exponential distribution and when the dependent structure is described by FGM and Clayton copulas. The comparison with the previous study is made too.
Year
Issue
Pages
57-68
Physical description
Dates
published
2012
Contributors
References
  • Albrecher H., Boxma O.J., A ruin model with dependence between claim sizes and claim intervals, “Insurance: Mathematics and Economics” 2004, 35, pp. 245-254.
  • Ambagaspitiya R.S., Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times, “Insurance: Mathematics and Economics” 2009, 44, pp. 464-472.
  • Boudreault M., Cossette H., Landiault D., Marceau E., On a risk model with dependence between interclaim arrivals and claim sizes, “Scandinavian Actuarial Journal” 2006, 5, pp. 265-285.
  • Cheung E.C.K., Landiault D., Willmot G.E., Woo J-K., Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models, “Insurance: Mathematics and Economics” 2010, 46 , pp. 117-126.
  • Cossette H., Marceau E., Marri F., On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula, “Insurance: Mathematics and Economics”2008, 43, pp. 444-455.
  • Cossette H., Marceau E., Marri F., Analysis of ruin measures for the classical compound Poisson risk model with dependence, “Scandinavian Actuarial Journal”2010, 3, pp. 221-245.
  • Heilpern S., Funkcje łączące, Wydawnictwo Akademii Ekonomicznej, Wrocław 2007.
  • Heilpern S., Wyznaczanie prawdopodobieństwa ruiny, gdy struktura zależności wypłat opisana jest Archimedesowi funkcją łaczącą, [w:] Zagadnienia aktuarialne. Teoria i praktyka, red. W. Otto, Wydawnictwo Uniwersytetu Warszawskiego, Warszawa 2010a, pp. 11-20.
  • Heilpern S., Analiza wpływu stopnia zależności wypłat na prawdopodobieństwo ruiny, Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu nr 141, „Ekonometria” 2010b, 29, pp. 92-104.
  • Heilpern S., Proces ryzyka z zależnymi okresami między wypłatami – analiza prawdopodobieństwa ruiny, Prace Naukowe Uniwersytetu Ekonomicznego w Katowicach (w druku, 2012).
  • Nelsen R.B., An Introduction to Copulas, Springer, New York 1999.
  • Modele aktuarialne, red. W. Ostasiewicz, Wydawnictwo Akademii Ekonomicznej, Wrocław 2000.
  • Rolski T., Schmidli H., Schmidt V., Teugels J., Stochastic Processes for Insurance and Finance, Willey, New York 1999.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-8e49d95d-bc10-47f1-b94f-6664cfb0ab6d
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.