an:02127224
Zbl 1079.91048
Albrecher, Hansj??rg; Boxma, Onno J.
A ruin model with dependence between claim sizes and claim intervals
EN
Insur. Math. Econ. 35, No. 2, 245-254 (2004).
00110681
2004
j
91B30
Ruin model; Dependence; Ruin probability; Laplace transform
Summary: We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples.