Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

2011 ◽  
Vol 15 (1) ◽  
pp. 109-124 ◽  
Author(s):  
Kaiyong Wang ◽  
Yuebao Wang ◽  
Qingwu Gao
Keyword(s):  
Interest Rate ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Uniform Asymptotics ◽  
Finite Time Ruin Probability ◽  
Constant Interest Rate ◽  
Constant Interest

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).

Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails

2015 ◽  
Vol 17 (01) ◽  
pp. 1540011
Author(s):  
K. K. Thampi
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Heavy Tails ◽  
Risk Model ◽  
Finite Time Ruin Probability ◽  
Interest Force ◽  
Constant Interest Force ◽  
Renewal Risk ◽  
Constant Interest Rate ◽  
Constant Interest

This paper establishes a simple asymptotic formula for the finite time ruin probability of a compound renewal risk model with constant interest force. We assume that the claim sizes are Weakly Negatively Dependent (WND) and identically distributed random variables belonging to the class of regularly varying tails. The results obtained have extended and improved some corresponding results of related papers.

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