Uniform Asymptotics for a Delay-Claims Risk Model with Constant Force of Interest and By-Claims Arriving according to a Counting Process

Qingwu Gao and Xijun Liu

Mathematical Problems in Engineering, 2019, vol. 2019, 1-15

Abstract:

The insurance risk model involving main claims and by-claims has been traditionally studied under the assumption that every main claim may be accompanied with a by-claim occurring after a period of delay, but in reality each main claim can cause many by-claims arriving according to a counting process. To this end, we construct a new insurance risk model that is also perturbed by diffusion with constant force of interest. In the presence of heavy tails and dependence structures among modelling components, we obtain some asymptotic results for the finite-time ruin probability and the tail probability of discounted aggregate claims, where the results hold uniformly for all times in a finite or infinite interval.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:6385647

DOI: 10.1155/2019/6385647

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