Asymptotics for a time-dependent by-claim model with dependent subexponential claims

Meng Yuan and Dawei Lu

Insurance: Mathematics and Economics, 2023, vol. 112, issue C, 120-141

Abstract: Consider a by-claim risk model with a constant force of interest, where each main claim may induce a by-claim after a random time. We propose a time-claim-dependent framework, that incorporates dependence between not only the waiting time and the claim but also the main claim and the corresponding by-claim. Based on this framework, we derive some asymptotic estimates for the finite-time ruin probabilities in the case of subexponential claims. We also provide examples and verify the assumptions on dependence. Numerical studies are conducted to examine the performance of these asymptotic formulas.

Keywords: By-claim; Renewal risk model; Dependence; Subexponential distribution; Ruin probability; Asymptotics (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:112:y:2023:i:c:p:120-141

DOI: 10.1016/j.insmatheco.2023.07.001

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