Issue: 2009/Vol.19/No.1, Pages 77-90
PROBABILITY OF RUIN FOR A DEPENDENT, TWO-DIMENSIONAL POISSON PROCESS
Cite as: S. Heilpern. Probability of ruin for a dependent, two-dimensional Poisson process. Operations Research and Decisions 2009: 19(1), 77-90.
A two-dimensional, dependent Poisson risk process is investigated in the paper. Claims are divided into two classes. Within each class claims have the same distribution, but claims belonging to different classes can have different distributions and the corresponding counting processes can be dependent. This dependence is induced by a common factor. Three models of ruin and the probabilities of ruin are investigated. The influence of the degree of class dependence on the probability of ruin are studied for each model.
Keywords: Poisson process, claim, model of ruin, simulation, phase-type distribution