The risk model with interclaim-dependent claim sizes proposed by Boudreault et al. [Boudreault, M., Cossette, H., Landriault, D., Marceau, E., 2006. On a risk model with dependence between interclaim arrivals and claim sizes. Scand. Actur. J., 265-285] is studied in the presence...

In this paper, we consider the Sparre Andersen risk model with an arbitrary interclaim time distribution and a fairly general class of distributions for the claim sizes. Via a two-step procedure which involves a combination of a probabilitic and an analytic argument, an explicit expression is...

In this paper, we study the dual risk process in ruin theory (see e.g. Cramér, H. 1955. Collective Risk Theory: A Survey of the Theory from the Point of View of the Theory of Stochastic Processes. Ab Nordiska Bokhandeln, Stockholm, Takacs, L. 1967. Combinatorial methods in the Theory of...