Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims

2012 ◽  
Vol 52 (1) ◽  
pp. 111-121 ◽  
Author(s):  
Yang Yang ◽  
Kaiyong Wang
Keyword(s):  
Interest Rate ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Uniform Asymptotics ◽  
Infinite Time ◽  
Heavy Tailed ◽  
Constant Interest Rate ◽  
Constant Interest

scholarly journals On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

2013 ◽  
Vol 50 (02) ◽  
pp. 309-322 ◽  
Author(s):  
Zechun Hu ◽  
Bin Jiang
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Expressions ◽  
Integral Differential Equations ◽  
Constant Interest Rate ◽  
Constant Interest

In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite-time ruin probabilities with respect to the joint ruin times T max(u 1,u 2) and T min(u 1,u 2) respectively.

scholarly journals On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

2013 ◽  
Vol 50 (2) ◽  
pp. 309-322 ◽  
Author(s):  
Zechun Hu ◽  
Bin Jiang
Keyword(s):  
Interest Rate ◽  
Differential Equations ◽  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Expressions ◽  
Integral Differential Equations ◽  
Constant Interest Rate ◽  
Constant Interest

In this note we consider the two-dimensional risk model introduced in Avram, Palmowski and Pistorius (2008) with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite-time ruin probabilities with respect to the joint ruin times Tmax(u1,u2) and Tmin(u1,u2) respectively.

scholarly journals Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims

2011 ◽  
Vol 2011 ◽  
pp. 1-14 ◽  
Author(s):  
Yang Yang ◽  
Xin Ma ◽  
Jin-guan Lin
Keyword(s):  
Interest Rate ◽  
Finite Time ◽  
Ruin Probability ◽  
Counting Process ◽  
Risk Model ◽  
Dependence Structure ◽  
Finite Time Ruin Probability ◽  
Heavy Tailed ◽  
Constant Interest Rate ◽  
Constant Interest

We propose a general continuous-time risk model with a constant interest rate. In this model, claims arrive according to an arbitrary counting process, while their sizes have dominantly varying tails and fulfill an extended negative dependence structure. We obtain an asymptotic formula for the finite-time ruin probability, which extends a corresponding result of Wang (2008).

scholarly journals MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE

2003 ◽  
Vol 17 (2) ◽  
pp. 183-198 ◽  
Author(s):  
Hailiang Yang ◽  
Lihong Zhang
Keyword(s):  
Interest Rate ◽  
Autoregressive Model ◽  
Ruin Probability ◽  
Risk Model ◽  
Martingale Method ◽  
Insurance Risk ◽  
Infinite Time ◽  
Probability Of Ruin ◽  
Constant Interest Rate ◽  
Constant Interest

In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon.

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