Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate

Hongmin Xiao and Lin Xie

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 22, 5396-5417

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 claim sizes satisfy a certain dependency, which belong to the different heavy-tailed distribution classes, the finite-time and infinite-time asymptotic estimates of the risk model with constant interest force are obtained.

Date: 2018
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DOI: 10.1080/03610926.2017.1390137

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