On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims

Haizhong Yang and Jinzhu Li

Statistics & Probability Letters, 2019, vol. 149, issue C, 153-159

Abstract: This paper considers a non-standard renewal risk model with constant force of interest, where each main claim may derive a delayed claim occurring after a random period of time. By means of recent asymptotic results for randomly weighted sums of subexponential random variables, we obtain some precise asymptotic expansions for the finite-time ruin probability when the main claims have a common subexponential tail.

Keywords: Asymptotics; Renewal risk model; Ruin probability; Delayed claim; Subexponential class (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2019.01.037

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