Finite time ruin probability with variable interest rate and extended regular variation

2004 ◽  
Vol 9 (6) ◽  
pp. 863-866
Author(s):  
Wei Xiao ◽  
Hu Yi-jun
Keyword(s):  
Interest Rate ◽  
Finite Time ◽  
Ruin Probability ◽  
Regular Variation ◽  
Finite Time Ruin Probability ◽  
Extended Regular Variation

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).

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