Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force

Cen Chen and Shijie Wang

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 18, 4367-4377

Abstract: In this paper, we consider a by-claim risk model with a constant rate of interest force, in which the main claims and the by-claims form a sequence of pTQAI nonnegative random variables and all their distributions belong to the dominatedly-varying heavy-tailed subclass. We obtain the asymptotically upper and lower bound formulas of the ultimate ruin probability for such a by-claim risk model. As its by-products, some interesting properties for pTQAI structure are also investigated. The results extend some existing ones in the literature.

Date: 2020
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DOI: 10.1080/03610926.2019.1599022

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