Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate

Kaiyong Wang and Yanzhu Mao

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 4, 932-943

Abstract: This paper considers a dependent risk model perturbed by diffusion with a constant interest rate, in which the claim sizes and the inter-arrival times have some dependence structures. When the claim sizes have a dominated varying-tailed distribution, the asymptotics of the finite-time ruin probability of the risk model have been obtained, which shows that the asymptotics of the finite-time ruin probability is insensitive to the perturbed term.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:50:y:2021:i:4:p:932-943

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DOI: 10.1080/03610926.2019.1643888

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