On the discrete-time compound renewal risk model with dependence
type: Item
instance of: scholarly article
title: On the discrete-time compound renewal risk model with dependence
zbMATH Open document ID: 1167.91013
author: É. Marceau
published in: Insurance Mathematics \& Economics
publication date: 2009-05-12T00:00:00Z
review text: The author studies the discrete-time renewal risk model with dependence between claim amount random variable and the interclaim time random variable.\newline Two types of dependence structures are considered. The first one uses different bivariate geometric distributions. The second one, more flexible, is based on copulas.\newline Recursive formulas are derived for the probability mass function, moments and present values of the total claim amount over a fixed period of time.\newline In the context of ruin theory, some formulas for ruin measures are presented and explicit penalty (Gerber-Shiu) function are derived for special cases.\newline The author also describes the continuous-time compound renewal risk model with dependence and shows how it can be approximated by the discrete-time model.\newline Numerical examples are provided to illustrate different topics discussed in the paper.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 5553076
zbMATH Keywords: dependence
zbMATH Keywords: renewal risk model
zbMATH Keywords: bivariate distributions
zbMATH Keywords: copulas
zbMATH Keywords: ruin theory
zbMATH Keywords: adjustment coefficient
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.06.003
OpenAlex ID: W1996047024
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DOI: 10.1016/J.INSMATHECO.2008.06.003
description: scientific article; zbMATH DE number 5553076