Abstract
In this note we provide a simple alternative probabilistic derivation of an explicit formula of Kwan and Yang (2007) for the probability of ruin in a risk model with a certain dependence between general claim interoccurrence times and subsequent claim sizes of conditionally exponential type. The approach puts the type of formula in a general context, illustrating the potential for similar simple ruin probability expressions in more general risk models with dependence.
Citation
Hansjörg Albrecher. Onno J. Boxma. Jevgenijs Ivanovs. "On simple ruin expressions in dependent Sparre Andersen risk models." J. Appl. Probab. 51 (1) 293 - 296, March 2014. https://doi.org/10.1239/jap/1395771431
Information