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

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

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.