Tail bounds for the distribution of the deficit in the renewal risk model

2008 ◽  
Vol 43 (2) ◽  
pp. 197-202 ◽  
Author(s):  
Georgios Psarrakos
Keyword(s):  
Risk Model ◽  
Renewal Risk Model ◽  
Renewal Risk

Asymptotic ruin probabilities for a bidimensional renewal risk model

Stochastics ◽  
2017 ◽  
Vol 89 (5) ◽  
pp. 687-708 ◽  
Author(s):  
Haizhong Yang ◽  
Jinzhu Li
Keyword(s):  
Risk Model ◽  
Ruin Probabilities ◽  
Renewal Risk Model ◽  
Renewal Risk

scholarly journals The probabilities of absolute ruin in the renewal risk model with constant force of interest

2010 ◽  
Vol 47 (2) ◽  
pp. 323-334 ◽  
Author(s):  
Dimitrios G. Konstantinides ◽  
Kai W. Ng ◽  
Qihe Tang
Keyword(s):  
Risk Model ◽  
Asymptotic Expression ◽  
Poisson Model ◽  
Weighted Sums ◽  
Constant Force ◽  
Infinite Time ◽  
Renewal Risk Model ◽  
Absolute Ruin ◽  
Force Of Interest ◽  
Renewal Risk

In this paper we consider the probabilities of finite- and infinite-time absolute ruins in the renewal risk model with constant premium rate and constant force of interest. In the particular case of the compound Poisson model, explicit asymptotic expressions for the finite- and infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression for the infinite-time absolute ruin probability. Conditional distributions of Poisson processes and probabilistic techniques regarding randomly weighted sums are employed in the course of this study.

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