Abstract
This article considers a dependent insurance risk model. We assume that the interarrival time depends on the previous claim size through a deterministic threshold
structure. Adjustment coefficient and Lundberg-type upper bound for the ruin
probability are obtained. In case of exponential claim size, an explicit solution for
the ruin probability is obtained by solving a system of ordinary delay differential
equations. Some numerical results are included for illustration purposes.
structure. Adjustment coefficient and Lundberg-type upper bound for the ruin
probability are obtained. In case of exponential claim size, an explicit solution for
the ruin probability is obtained by solving a system of ordinary delay differential
equations. Some numerical results are included for illustration purposes.
| Original language | English |
|---|---|
| Pages (from-to) | 765-776 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 39 |
| DOIs | |
| Publication status | Published - 2010 |
| Externally published | Yes |