Finance Department

 

Date of this Version

2005

Document Type

Article

Citation

Journal of Actuarial Practice 12 (2005), pp. 193-214

Comments

Copyright 2005 Absalom Press

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.

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