Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076257 | Insurance: Mathematics and Economics | 2016 | 13 Pages |
Abstract
In this paper a one-dimensional surplus process is considered with a certain Sparre Andersen type dependence structure under general interclaim times distribution and correlated phase-type claim sizes. The Laplace transform of the time to ruin under such a model is obtained as the solution of a fixed-point problem, under both the zero-delayed and the delayed cases. An efficient algorithm for solving the fixed-point problem is derived together with bounds that illustrate the quality of the approximation. A two-dimensional risk model is analyzed under a bailout type strategy with both fixed and variable costs and a dependence structure of the proposed type. Numerical examples and ideas for future research are presented at the end of the paper.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
F. Avram, A.L. Badescu, M.R. Pistorius, L. Rabehasaina,