Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails

K. K. Thampi ()
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K. K. Thampi: Department of Statistics, SNMC, Mahatma Gandhi University, Kerala 683516, India

International Game Theory Review (IGTR), 2015, vol. 17, issue 01, 1-14

Abstract: This paper establishes a simple asymptotic formula for the finite time ruin probability of a compound renewal risk model with constant interest force. We assume that the claim sizes are Weakly Negatively Dependent (WND) and identically distributed random variables belonging to the class of regularly varying tails. The results obtained have extended and improved some corresponding results of related papers.

Keywords: Finite time ruin probability; dependent compound renewal model; weakly negatively dependent; regular variation; 62P05; 62E10; 91B30 (search for similar items in EconPapers)
JEL-codes: B4 C0 C6 C7 D5 D7 M2 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1142/S0219198915400113

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