Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims

Yang Liu, Zhenlong Chen and Ke-Ang Fu

Statistics & Probability Letters, 2021, vol. 177, issue C

Abstract: This paper considers a nonstandard renewal risk model with constant force of interest, in which each main claim induces a delayed claim. Assume that the main claim sizes and the inter-arrival times obey a dependence structure, and so do the delayed claim sizes and the arrival times. Supposing that the distributions of the main and delayed claim sizes both have subexponential tails, asymptotic estimate for the finite-time ruin probability of this risk model is obtained, as the initial surplus tends to infinity.

Keywords: Delayed claim; Renewal risk model; Ruin probability; Subexponential class; Time-dependence (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2021.109174

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