A new risk model based on policy entrance process and its weak convergence properties

Zehui Li and Xinbing Kong

Applied Stochastic Models in Business and Industry, 2007, vol. 23, issue 3, 235-246

Abstract: In this paper, we construct a new risk model based on the policy entrance process. The model is concerned with n kinds of independent policies, and each policy is allowed to claim more than once before it expires. As each kind of policy is issued according to a non‐homogeneous Poisson process, the long run behaviour of the new risk process is investigated. When the tail of the claim size distribution is regularly varying, the standardized risk process is proved to converge to a stable law. When each kind of policy is issued according to a homogeneous Poisson process, we also give a diffusion approximation of the new risk process. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:23:y:2007:i:3:p:235-246

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