The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

2007 ◽  
Vol 40 (3) ◽  
pp. 415-423 ◽  
Author(s):  
Yiqing Chen ◽  
Kai W. Ng
Keyword(s):  
Ruin Probability ◽  
Renewal Model ◽  
Interest Force ◽  
Constant Interest Force ◽  
Heavy Tailed ◽  
Constant Interest

scholarly journals Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 135
Author(s):  
Hongmin Xiao ◽  
Lin Xie
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Dependence Structure ◽  
Arrival Times ◽  
Interest Force ◽  
Heavy Tailed Distribution ◽  
Constant Interest Force ◽  
Heavy Tailed ◽  
Constant Interest Rate ◽  
Constant Interest

In this paper, the risk model with constant interest based on an entrance process is investigated. Under the assumptions that the entrance process is a renewal process and the claims sizes satisfy a certain dependence structure, which belong to the different heavy-tailed distribution classes, the finite-time asymptotic estimate of the bidimensional risk model with constant interest force is obtained. Particularly, when inter-arrival times also satisfy a certain dependence structure, these formulas still hold.

scholarly journals The finite-time ruin probability of the compound Poisson model with constant interest force

2005 ◽  
Vol 42 (03) ◽  
pp. 608-619 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Poisson Model ◽  
Compound Poisson ◽  
Finite Time Ruin Probability ◽  
Compound Poisson Model ◽  
Interest Force ◽  
Constant Interest Force ◽  
Claim Size Distribution ◽  
Constant Interest

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regularly varying tailed.

scholarly journals The finite-time ruin probability of the compound Poisson model with constant interest force

2005 ◽  
Vol 42 (3) ◽  
pp. 608-619 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Poisson Model ◽  
Compound Poisson ◽  
Finite Time Ruin Probability ◽  
Compound Poisson Model ◽  
Interest Force ◽  
Constant Interest Force ◽  
Claim Size Distribution ◽  
Constant Interest

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regularly varying tailed.

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