



























We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the Bonus-Malus feature. We discuss first asymptotic results of ruin probabilities for different regimes of claim distributions. For numerical results, we recognise an embedded Markov additive process. Via an appropriate change of measure, ruin probabilities could be computed to a closed form formulae. Additionally, we present simulated results via the importance sampling method, which further permit an in-depth analysis of a few concrete cases.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。