Dependent Insurance Risk Model: Deterministic Threshold

K. M. Kwan, Hailiang Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


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.
Original languageEnglish
Pages (from-to)765-776
JournalCommunications in Statistics - Theory and Methods
Publication statusPublished - 2010
Externally publishedYes


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