Asymptotic Tail Probability of the Discounted Aggregate Claims under Homogeneous, Non-Homogeneous and Mixed Poisson Risk Model

Franck Adékambi and Kokou Essiomle
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Franck Adékambi: Schoool of Economics, University of Johannesburg, Johannesburg 2006, South Africa
Kokou Essiomle: Schoool of Economics, University of Johannesburg, Johannesburg 2006, South Africa

Risks, 2021, vol. 9, issue 7, 1-22

Abstract: In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim sizes. This dependence structure is relevant since it is well known that under catastrophic or extreme events the inter-occurrence time and the claim severities are dependent.

Keywords: homogeneous; non-homogeneous; mixed Poisson risk model; differential equation; discounted aggregate loss; subexponential; tail probability (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
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