Asymptotics for ultimate ruin probability in a by-claim risk model
Articles
Aili Zhang
Nanjing Audit University
Shuang Liu
Nanjing Audit University
https://orcid.org/0000-0002-9743-212X
Yang Yang
Nanjing Audit University
https://orcid.org/0000-0002-1080-8658
Published 2021-03-01
https://doi.org/10.15388/namc.2021.26.20948
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Keywords

ultimate ruin probability
asymptotic behavior
main claim and by-claim
bivariate regular variation

How to Cite

Zhang, A., Liu, S. and Yang, Y. (2021) “Asymptotics for ultimate ruin probability in a by-claim risk model”, Nonlinear Analysis: Modelling and Control, 26(2), pp. 259–270. doi:10.15388/namc.2021.26.20948.

Abstract

This paper considers a by-claim risk model with constant interest rate in which the main claim and by-claim random vectors form a sequence of independent and identically distributed random pairs with each pair obeying some certain dependence or arbitrary dependence structure. Under the assumption of heavy-tailed claims, we derive some asymptotic formulas for ultimate ruin probability. Some simulation studies are also performed to check the accuracy of the obtained theoretical results via the crude Monte Carlo method.

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