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  1. 1 Studia Ekonomiczne

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  1. 1 Iwanicka A.

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  1. 1 2013

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Wpływ stopnia zależności pomiędzy wysokością wypłat na prawdopodobieństwo ruiny w dwuklasowym modelu ryzyka

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Iwanicka A.
Studia Ekonomiczne
|
2013
|
vol. 154
22-31
EN
These paper considers a risk model for two dependant classes of insurance business. The dependence between these classes is caused by appearing of some claims at the same time in both classes and additionally the sizes of these claims are dependant. The structure of the dependence between these claims sizes is described by copulas. The main aim of the paper is to investigate the impact of the level of dependence between these claims sizes on the finite-time ruin probability in considered risk model. short numerical analysis.
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