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On a correlated aggregate claims model with Poisson and Erlang risk processes |
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| Institution: | 1. Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam Road, Hong Kong, China;2. Department of Mathematics, Nankai University, Tianjin 300071, China;1. University of Amsterdam, Amsterdam School of Economics, Netherlands;2. Tilburg University, Department of Econometrics and OR, Netherlands |
| Abstract: | In this paper we consider a risk model with two dependent classes of insurance business. In this model the two claim number processes are correlated. Claim occurrences of both classes relate to Poisson and Erlang processes. We derive explicit expressions for the ultimate survival probabilities under the assumed model when the claim sizes are exponentially distributed. We also examine the asymptotic property of the ruin probability for this special risk process with general claim size distributions. |
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