Infinite-time absolute ruin in dependent renewal risk models with constant force of interest

Jiajun Liu, Yang Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

Consider a renewal risk model with a constant premium and a constant force of interest rate, where the claim sizes and inter-arrival times follow certain dependence structures via some restriction on their copula function. Under the assumption that the distribution of the claim-size belongs to the intersection of the class S(γ), γ ≥ 0 and the class R√ ∞, or a larger intersection class of O-subexponential distribution, class L(γ) and R√ ∞, the infinite-time absolute ruin probabilities are derived.

Original languageEnglish
Pages (from-to)97-115
Number of pages19
JournalStochastic Models
Volume33
Issue number1
DOIs
Publication statusPublished - 2 Jan 2017
Externally publishedYes

Keywords

  • Absolute ruin probability
  • Farlie–Gumbel–Morgenstern distribution
  • asymptotics
  • class
  • class
  • class of O-subexponential distributions
  • class of rapidly-varying-tailed distributions
  • dependence
  • renewal risk model

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