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A Renewal Risk Model with Dependence between Claim Sizes and Claim Intervals

Author Affiliations

  • 1Bharathiar University, Coimbatore, Tamilnadu, INDIA
  • 2 SNM College, Maliankara, Eranakulam, Kerala, INDIA

Res. J. Mathematical & Statistical Sci., Volume 3, Issue (3), Pages 9-12, March,12 (2015)

Abstract

This paper considers an application of probability to an insurance portfolio where the claim inter-arrival time depends on the previous claim size and follows Erlang (2) distribution. An explicit solution is derived for the crucial parameter of insurance companies, the probability of survival, using Laplace transform. The results are illustrated with examples.

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