English, Article edition: On the discrete-time compound renewal risk model with dependence Marceau, Etienne

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Bookmark: http://trove.nla.gov.au/version/10964
Physical Description
  • article
Language
  • English

Edition details

Title
  • On the discrete-time compound renewal risk model with dependence
Author
  • Marceau, Etienne
Physical Description
  • article
Notes
  • In this paper, we study the discrete-time renewal risk model with dependence between the claim amount random variable and the interclaim time random variable. We consider several dependence structures between the claim amount random variable and the interclaim time random variable. Recursive formulas are derived for the probability mass function and the moments of the total claim amount over a fixed period of time. In the context of ruin theory, explicit expressions for the expected penalty (Gerber-Shiu) function are derived for special cases. We also discuss how the discrete-time compound renewal risk model with dependence can be used to approximate the corresponding continuous time compound renewal risk model with dependence. Numerical examples are provided to illustrate different topics discussed in the paper.
  • Dependence Renewal risk model Bivariate distributions Copulas Ruin theory Adjustment coefficient
  • RePEc:eee:insuma:v:44:y:2009:i:2:p:245-259
Language
  • English
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