Ruin probability in the delayed renewal risk model perturbed by a diffusion process

2020 ◽  
pp. 1-18
Author(s):  
Franck Adékambi ◽  
Essodina Takouda
Keyword(s):  
Diffusion Process ◽  
Ruin Probability ◽  
Risk Model ◽  
Renewal Risk Model ◽  
Delayed Renewal Risk Model ◽  
Renewal Risk

Some Results about Ruin Probability in the Second Type of Generalized Delayed Renewal Risk Model

2012 ◽  
Vol 433-440 ◽  
pp. 2969-2973
Author(s):  
Shi Zu Fang
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Renewal Risk Model ◽  
Delayed Renewal Risk Model ◽  
Asymptotic Relationship ◽  
Heavy Tailed ◽  
Equivalence Relationship ◽  
Renewal Risk ◽  
Relationship Of

In this paper we introduce the second type of generalized delayed renewal risk model and investigate its ruin probability. Under the assumption that the claim sizes are heavy-tailed, we obtain a tail equivalence relationship of the ruin probability and establish a local asymptotic relationship for the ruin probability.

scholarly journals Ruin excursions, the G/G/∞ queue, and tax payments in renewal risk models

2011 ◽  
Vol 48 (A) ◽  
pp. 3-14
Author(s):  
Hansjörg Albrecher ◽  
Sem C. Borst ◽  
Onno J. Boxma ◽  
Jacques Resing
Keyword(s):  
Ruin Probability ◽  
Risk Model ◽  
Risk Models ◽  
Renewal Risk Model ◽  
Insurance Portfolio ◽  
Tax Payments ◽  
Renewal Risk

In this paper we investigate the number and maximum severity of the ruin excursion of the insurance portfolio reserve process in the Cramér–Lundberg model with and without tax payments. We also provide a relation of the Cramér–Lundberg risk model with the G/G/∞ queue and use it to derive some explicit ruin probability formulae. Finally, the renewal risk model with tax is considered, and an asymptotic identity is derived that in some sense extends the tax identity of the Cramér– Lundberg risk model.

scholarly journals Uniform Estimate of the Finite-Time Ruin Probability for All Times in a Generalized Compound Renewal Risk Model

2012 ◽  
Vol 2012 ◽  
pp. 1-17 ◽  
Author(s):  
Qingwu Gao ◽  
Na Jin ◽  
Juan Zheng
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Uniform Estimate ◽  
Random Variables ◽  
Dependence Structure ◽  
Finite Time Ruin Probability ◽  
Renewal Risk Model ◽  
Renewal Risk ◽  
Compound Renewal Risk Model

We discuss the uniformly asymptotic estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model, where the interarrival times of successive accidents and all the claim sizes caused by an accident are two sequences of random variables following a wide dependence structure. This wide dependence structure allows random variables to be either negatively dependent or positively dependent.

Sign in / Sign up

Export Citation Format

Share Document