On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models

DOI10.1239/jap/1395771431zbMath1286.91063OpenAlexW2142736141MaRDI QIDQ5416559

Jevgenijs Ivanovs, Hansjoerg Albrecher, Onno J. Boxma

Publication date: 14 May 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1395771431

zbMATH Keywords

ruin probabilityMarkov additive processSparre Andersen risk model

Mathematics Subject Classification ID

Related Items (5)

Queues and Risk Processes with Dependencies ⋮ Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Ruin under stochastic dependence between premium and claim arrivals ⋮ Collective risk models with dependence

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