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On simple ruin expressions in dependent Sparre Andersen risk models. (English) Zbl 1286.91063
Summary: In this note we provide a simple alternative probabilistic derivation of an explicit formula of I. K. M. Kwan and H. Yang [“Ruin probability in a threshold insurance risk model”, Belg. Actuar. Bull. 7, 41–49 (2007), http://www.belgianactuarialbulletin.be/browse.php?issue=77-8] for the probability of ruin in a risk model with a certain dependence between general claim interoccurrence times and subsequent claim sizes of conditionally exponential type. The approach puts the type of formula in a general context, illustrating the potential for similar simple ruin probability expressions in more general risk models with dependence.

MSC:
91B30 Risk theory, insurance (MSC2010)
60K20 Applications of Markov renewal processes (reliability, queueing networks, etc.)
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References:
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