scholarly journals Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force

Filomat ◽  
2019 ◽  
Vol 33 (1) ◽  
pp. 65-79
Author(s):  
Qingwu Gao ◽  
Xijun Liu
Keyword(s):  
Large Deviations ◽  
Risk Model ◽  
Time Dependent ◽  
Interest Force ◽  
Constant Interest Force ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
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.

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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