On risk models with dependence
Probability
2020-01-31 v1
Abstract
In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show that the methods used to derive results in the classical risk model can be modified to derive results in a dependent risk process. We find expressions for the survival probability and the probability of maximum surplus before ruin.
Keywords
Cite
@article{arxiv.2001.11266,
title = {On risk models with dependence},
author = {Marjan Qazvini},
journal= {arXiv preprint arXiv:2001.11266},
year = {2020}
}