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On a Sparre Andersen risk model with dependence between interclaim time and claim size
HAN Xiao, ZHANG Zhi-Min
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Funding: 国家自然科学基金 （No.11471058；11101451）
Opened online:14 January 2016
Accepted by: none
Citation: HAN Xiao, ZHANG Zhi-Min.On a Sparre Andersen risk model with dependence between interclaim time and claim size[OL]. [14 January 2016] http://en.paper.edu.cn/en_releasepaper/content/4675319
 
 
In this paper, we consider the ruin problems in the SparreAndersen risk model with dependence between the interclaim time andclaim size. The discounted ladder height distributions are derivedwhenever the marginal density of either the interclaim time or theclaim size is arbitrary, and the results are used to analyze thediscounted penalty function. Finally, we assume that the jointdensity of the interclaim time and claim size is of finite mixtureof bivariate densities, and show that the discounted penaltyfunction can also be obtained by similar techniques.
Keywords:Sparre Andersen model; Random walk;Discounted ladder height distribution; Discounted penalty function
 
 
 

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