Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate

Hongmin Xiao and Lin Xie
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Hongmin Xiao: College of Mathematics and Statistics, Northwest Normal University, Lanzhou 730070, China
Lin Xie: College of Mathematics and Statistics, Northwest Normal University, Lanzhou 730070, China

Risks, 2018, vol. 6, issue 4, 1-12

Abstract: In this paper, the risk model with constant interest based on an entrance process is investigated. Under the assumptions that the entrance process is a renewal process and the claims sizes satisfy a certain dependence structure, which belong to the different heavy-tailed distribution classes, the finite-time asymptotic estimate of the bidimensional risk model with constant interest force is obtained. Particularly, when inter-arrival times also satisfy a certain dependence structure, these formulas still hold.

Keywords: asymptotic; constant interest force; widely lower orthant dependence; ruin probability (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
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