Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims

Qingwu Gao (), Gu Peng and Jin Na
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Gu Peng: Nanjing University
Jin Na: Nanjing Times Media Co., Ltd.

Asia-Pacific Journal of Risk and Insurance, 2012, vol. 6, issue 1, 16

Abstract: In this paper, we investigate the asymptotic behavior of the finite-time ruin probability in a general risk model with constant interest force, in which the claims are of a widely upper orthant dependence structure, belonging to the intersection of long-tailed class and dominant variation class, and arriving according to an arbitrary counting process. The results we obtained can extend and improve some existing results.

Keywords: asymptotics; constant interest force; widely upper orthant dependence; counting process; finite-time ruin probability; stochastic premiums (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1515/2153-3792.1129

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