Lai Mei Wan, Kam Chuen Yuen, and Wai Keung Li
Abstract
We consider a discrete-time risk model with m (m ≥ 2) dependent classes of insurance business. The claim processes of these m classes are assumed to follow a multivariate autoregressive time-series model of order 1. Given this claims model, we explore the probability of ultimate ruin assuming exponentially bounded claims. As an example, we use simulations to study the case where there are two business and the underlying losses are of two types: bivariate exponential and bivariate gamma claim distributions.
Key words and phrases: adjustment coefficient, bivariate exponential distribution, bivariate gamma distribution, discrete-time risk model, multivariate autoregressive model, time series, ultimate ruin probability
Corresponding Author:
Kam C. Yuen
Department of Statistics and Actuarial Science,
E-mail: kcyuen@hku.hk
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