Dimitrios G. Konstantinides | Zendy

Dimitrios G. Konstantinides | Zendy

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Dimitrios G. Konstantinides

Author(s) -

Dimitrios G. Konstantinides

Publication year - 2018

Publication title -

quantitative finance and economics

Language(s) - English

Resource type - Journals

ISSN - 2573-0134

DOI - 10.3934/qfe.2018.3.717

Subject(s) - infinity , sequence (biology) , mathematics , random variable , econometrics , mathematical economics , combinatorics , statistical physics , statistics , mathematical analysis , physics , genetics , biology

In this paper a double renewal risk model is studied. The claims represent an i.i.d.sequence of random variables and the premiums represent another sequence of random variables withextended negative dependence. The corresponding two arrival processes have di erent intensities,which correspond to consideration of frequent arrivals of premiums. The ultimate ruin probability isasymptotically estimated when the initial capital tends to infinity

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