On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims

被引：18

作者：

Yang, Haizhong ^{[1
]}

Li, Jinzhu ^{[2
,3
]}

机构：

[1] Xian Univ Finance & Econ, Sch Stat, Xian 710100, Shaanxi, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[3] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2019年 / 149卷

基金：

中国国家自然科学基金;

关键词：

Asymptotics; Renewal risk model; Ruin probability; Delayed claim; Subexponential class; DISCOUNTED AGGREGATE CLAIMS; RANDOM-VARIABLES;

D O I：

10.1016/j.spl.2019.01.037

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers a non-standard renewal risk model with constant force of interest, where each main claim may derive a delayed claim occurring after a random period of time. By means of recent asymptotic results for randomly weighted sums of subexponential random variables, we obtain some precise asymptotic expansions for the finite-time ruin probability when the main claims have a common subexponential tail. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：153 / 159

页数：7

共 22 条

[1]

[Anonymous], 2005, Quantitative Risk Management

[2] Ruin with insurance and financial risks following the least risky FGM dependence structure [J].

Chen, Yiqing ;

Liu, Jiajun ;

Liu, Fei .

INSURANCE MATHEMATICS & ECONOMICS, 2015, 62 :98-106

[3] SUBEXPONENTIALITY OF THE PRODUCT OF INDEPENDENT RANDOM-VARIABLES [J].

CLINE, DBH ;

SAMORODNITSKY, E .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1994, 49 (01) :75-98

[4]

Dassios A, 2013, J APPL PROBAB, V50, P686

[5]

Embrechts P., 1997, Modelling Extremal Events: for Insurance and Finance, DOI [10.1007/978-3-642-33483-2, DOI 10.1007/978-3-642-33483-2]

[6]

Foss S, 2011, SPRINGER SER OPER RE, P1, DOI 10.1007/978-1-4419-9473-8

[7] Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns [J].

Fu, Ke-Ang ;

Li, Huijie .

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2016, 306 :154-165

[8] On joint ruin probability for a bidimensional Levy-driven risk model with stochastic returns and heavy-tailed claims [J].

Fu, Ke-Ang .

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 442 (01) :17-30

[9] Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims [J].

Fu Ke-ang ;

Qiu Yu-yang ;

Wang An-ding .

APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B, 2015, 30 (03) :347-360

[10] Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest [J].

Gao, Qingwu ;

Zhuang, Jun ;

Huang, Zhongquan .

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2019, 353 :219-231

← 1 2 3 →