Ruin under stochastic dependence between premium and claim arrivals
Vidmar, Matija, 1988-
S poudarkom na verjetnosti propada raziščemo prilagojeno verzijo Cramer-Lundbergovega modela za proces presežka zavarovalnice, v katerem sta, pogojno na njuni intenziteti, mešana Poissonova procesa, ...ki štejeta prihode premij in zahtevkov, neodvisna. Tak model izkazuje stohastično odvisnost med procesoma kumulativnih premij ter zahtevkov. Ekspliciten izraz za verjetnost propada je dobljen v primeru, ko so premije in zahtevki eksponentno porazdeljeni.
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