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 language | English |
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Pages (from-to) | 97-115 |
Number of pages | 19 |
Journal | Stochastic Models |
Volume | 33 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2 Jan 2017 |
Externally published | Yes |
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