Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims | Zendy

Yang Yang | Zendy; Xin Ma | Zendy; JinGuan Lin | Zendy

Open Access

Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims

Author(s) -

Yang Yang,

Xin Ma,

JinGuan Lin

Publication year - 2011

Publication title -

mathematical problems in engineering

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.262

H-Index - 62

eISSN - 1026-7077

pISSN - 1024-123X

DOI - 10.1155/2011/852852

Subject(s) - constant (computer programming) , risk model , mathematics , first hitting time model , ruin theory , counting process , risk process , statistical physics , statistics , computer science , physics , programming language

We propose a general continuous-time risk model with a constant interest rate. In this model, claims arrive according to an arbitrary counting process, while their sizes have dominantly varying tails and fulfill an extended negative dependence structure. We obtain an asymptotic formula for the finite-time ruin probability, which extends a corresponding result of Wang (2008)

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research