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Simulating the ruin probability of risk processes with delay in claim settlement

โœ Scribed by G.L. Torrisi

Book ID
108265757
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
309 KB
Volume
112
Category
Article
ISSN
0304-4149

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In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty