scholarly journals Asymptotic estimates for ruin probabilities of a discrete-time risk model with dependence structures

2020 ◽  
Vol 1437 ◽  
pp. 012088
Author(s):  
Hao-jie Jing ◽  
Jiang-yan Peng ◽  
Zhi-quan Jiang
Risks ◽  
2017 ◽  
Vol 5 (1) ◽  
pp. 14 ◽  
Author(s):  
Xing-Fang Huang ◽  
Ting Zhang ◽  
Yang Yang ◽  
Tao Jiang

2015 ◽  
Vol 44 (4) ◽  
pp. 367-379 ◽  
Author(s):  
Andrius Grigutis ◽  
Agneška Korvel ◽  
Jonas Šiaulys

In this work,  we investigate a  multi-risk model describing insurance business with  two or more independent series of claim amounts. Each series of claim amounts consists of independent nonnegative random variables. Claims of each series occur periodically with some fixed   inter-arrival time. Claim amounts occur until they   can be compensated by a common premium rate and the initial insurer's surplus.  In this article, wederive a recursive formula for calculation of finite-time ruin probabilities. In the case of bi-risk model, we present a procedure to calculate the ultimate ruin probability. We add several numerical examples illustrating application  of the derived formulas.DOI: http://dx.doi.org/10.5755/j01.itc.44.4.8635


2005 ◽  
Vol 20 (1) ◽  
pp. 103-113 ◽  
Author(s):  
Qihe Tang

Consider a discrete-time insurance risk model with risky investments. Under the assumption that the loss distribution belongs to a certain subclass of the subexponential class, Tang and Tsitsiashvili (Stochastic Processes and Their Applications 108(2): 299–325 (2003)) established a precise estimate for the finite time ruin probability. This article extends the result both to the whole subexponential class and to a nonstandard case with associated discount factors.


Risks ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 26
Author(s):  
Dhiti Osatakul ◽  
Xueyuan Wu

In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry. Two strategies of adjusting periodic premiums are considered: aggregate claims or claim frequency. Recursive formulae are derived to compute the finite-time ruin probabilities, and Lundberg-type upper bounds are also derived to evaluate the ultimate-time ruin probabilities. In addition, we extend the risk model by considering an external Markovian environment in which the claims distributions are governed by an external Markov process so that the periodic premium adjustments vary when the external environment state changes. We then study the joint distribution of premium level and environment state at ruin given ruin occurs. Two numerical examples are provided at the end of this paper to illustrate the impact of the initial external environment state, the initial premium level and the initial surplus on the ruin probability.


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