Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(n) claims
نویسندگان
چکیده
منابع مشابه
Ruin Probabilities for Large Claims in Delayed Renewal Risk Model*
The following stochastic model, which can be used for example to describe an insurance business, has been considered by Grandell (1991) and Embrechts et al. (1997), Rolski et al. (1999) and Asmussen (2000), among others. Costs of claims Zi, ib 1, form a sequence of independent and identically distributed (i.i.d.), positive random variables (r.v.s) with a common distribution function (d.f.) F an...
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For the renewal risk model with subexponential claim sizes, we establish for the finite time ruin probability a lower asymptotic estimate as initial surplus increases, subject to the demand that it should hold uniformly over all time horizons in an infinite interval. This extends a recent work partly on the topic from the case of Pareto-type claim sizes to the case of subexponential claim sizes...
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Consider a two-dimensional delayed renewal risk model with a constant interest rate, where the claim sizes of the two classes form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavytailed claim sizes, some asymptotic formulas are derived for the finite-time and infinite-time ruin probabilities.
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In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of byclaim may be delayed depending on associated main claim amount. Using Rouché’s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent ...
متن کاملA Note on the Severity of Ruin in the Renewal Model with Claims of Dominated Variation
This paper investigates the tail asymptotic behavior of the severity of ruin (the deficit at ruin) in the renewal model. Under the assumption that the tail probability of the claimsize is dominatedly varying, a uniform asymptotic formula for the tail probability of the deficit at ruin is obtained. 1. Model and main result Throughout this paper, for any 0 ≤ a < b < ∞ the integral symbol ∫ b a is...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2013
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.11.005