On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
نویسندگان
چکیده
منابع مشابه
The Probabilities of Absolute Ruin in the Renewal Risk Model with Constant Force of Interest
In this paper we consider the probabilities of finiteand infinite-time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. In the particular case of compound Poisson model, explicit asymptotic expressions for the finiteand infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression fo...
متن کاملThe Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results.
متن کاملAsymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
This paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. When the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملAsymptotic ruin probabilities of the renewal model with constant interest force and regular variation
We investigate the ruin probability of the renewal model. In this model the claims, Xn; n]1; form a sequence of independent, identically distributed (i.i.d.), and nonnegative random variables with common distribution function F, and the interarrival times, Yn; n]1; form another sequence of i.i.d. nonnegative random variables, which are independent of the random variables Xn; n]1; and are not de...
متن کاملasymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
this paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. when the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2013
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200013383