Abstract
In this paper, we derive the explicit expressions and an upper bound of the ruin probability for the compound delayed renewal risk model taking into account the dependence within the inter-claim times, the claim sizes and between the claims and their inter-claim times. We use a specific mixture of exponential distributions to define the dependence structure between the inter-occurrence times and the claim sizes.
| Original language | English |
|---|---|
| Pages (from-to) | 147-165 |
| Number of pages | 19 |
| Journal | Journal of Applied Probability and Statistics |
| Volume | 15 |
| Issue number | 3 |
| Publication status | Published - Dec 2020 |
Keywords
- Archimedean copulas
- Laplace transform
- Ruin Probability
- delay renewal process
- mixing
ASJC Scopus subject areas
- Statistics and Probability
- Applied Mathematics