Far East Journal of Theoretical Statistics
Volume 52, Issue 4, Pages 269 - 288
(July 2016) http://dx.doi.org/10.17654/TS052040269 |
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RUIN PROBABILITY FOR CORRELATED POISSON CLAIM COUNT AND GAMMA RISK PROCESS
Emmanuel Thompson and Rohana S. Ambagaspitiya
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Abstract: Claim sizes and claim occurrence times are assumed to be independent in the Sparre-Andersen model. The independence assumption is very restrictive and also lack suitability for certain real world situations. In this paper, we ease the independence assumption through the introduction of correlation between claim sizes and claim occurrence times. With the aid of Wiener-Hopf factorization, we obtain the exact expression for the ultimate ruin probability. |
Keywords and phrases: claim counts, claim sizes, ultimate ruin probability, Wiener-Hopf factorization. |
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