Zależne procesy ryzyka
Dependent risk processes

Summary/Abstract: The paper is devoted to risk process, in which the claim amount and the neighboring interclaim times may be dependent. The probability of ruin is studied and the influence of the degree of dependence on the probability of ruin is investigated. The dependent structure is described by the bivariate gamma distribution or the Spearman copula. The expected discounted penalty function is investigated in the second case. It is a measure of risk, the generalization of the probability of ruin and the Laplace transform of the time of ruin. Other cases of dependent risk processes are studied, too.

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