A note on a by-claim risk model: Asymptotic results

Jinzhu Li

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 22, 11289-11295

Abstract: In this note, we restudy a by-claim risk model with general dependence structures between each main claim and its by-claim. Within the framework of regular variation, we derive some asymptotic expansions for the infinite-time and finite-time ruin probabilities.

Date: 2017
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DOI: 10.1080/03610926.2016.1263743

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