The Asymptotics of Recovery Probability in the Dual Renewal Risk Model with Constant Interest and Debit Force | Zendy

Hao Wang | Zendy; Lin Xu | Zendy

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The Asymptotics of Recovery Probability in the Dual Renewal Risk Model with Constant Interest and Debit Force

Author(s) -

Hao Wang,

Lin Xu

Publication year - 2015

Publication title -

international scholarly research notices

Language(s) - English

Resource type - Journals

ISSN - 2356-7872

DOI - 10.1155/2015/504987

Subject(s) - dual (grammatical number) , constant (computer programming) , markov chain , risk model , discrete time and continuous time , mathematics , computer science , statistical physics , statistics , physics , art , literature , programming language

The asymptotic behavior of the recovery probability for the dual renewal risk model with constant interest and debit force is studied. By means the idea of Markov Skeleton method, we studied the times that the random premium incomes happened and transformed the continuous time model into a discrete time model. By investigating the fluctuations of this discrete time model, we obtained the asymptotic behavior when the random premium income belongs to a kind of heavy-tailed distributions.

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