Abstract

Journal of Actuarial Practice

Volume 13, 2006

Analysis of an Insurance Risk Model with Thinning Dependence and Common Shock

Lai Mei Wan, Kam Chuen Yuen, and Wai Keung Li

Abstract

We consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions.

Key words and phrases: adjustment coefficient, by-claim, common shock, main claim, thinning dependence, ultimate ruin probability

Corresponding Author:

Lai Mei Wan

Department of Statistics and Actuarial Science,

University of Hong Kong,

Pokfulam Road,

HONG KONG.

E-mail: kriswan@graduate.hku.hk