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Ruin probabilities caused by different classes of claims for a correlated aggregate claims model. (English) Zbl 1313.91086

Summary: This paper considers a risk model which involves two correlated classes of insurance business and the two claim number processes related to Poisson and Erlang processes. Asymptotic results for ruin probabilities caused by different classes of claims are obtained by renewal argument. Explicit expressions for ruin probabilities caused by different classes of claims are derived when the original claim sizes are exponentially distributed.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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