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arXiv · 2001.11266

On risk models with dependence

Marjan Qazvini
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Abstract

In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show that the methods used to derive results in the classical risk model can be modified to derive results in a dependent risk process. We find expressions for the survival probability and the probability of maximum surplus before ruin.

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Marjan Qazvini. 2020-01-30. On risk models with dependence. https://arxiv.org/abs/2001.11266

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