On the time to ruin for a dependent delayed capital injection risk model
نویسندگان
چکیده
منابع مشابه
Asymptotics 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 کاملFinite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
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.
متن کاملRuin 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...
متن کاملمازاد سرمایه در زمان ورشکستگی در مدل ریسک کلاسیک با عامل اغتشاش on the surplus prior to ruin in the perturbed classical risk process
هدف این تحقیق در نظر گرفتن مدل ریسک کلاسیک که با عامل فرآیند وینر ، به مدل ریسک کلاسیک با عامل اغتشاش تبدیل می شود. در این تحقیق فرمول هایی صریح برای تابع چگالی احتمال توام و حاشیه ای مقدار مازاد سرمایه بلافاصله قبل و در زمان ورشکستگی و همچنین تابع چگالی احتمالی برای مقادیر و اندازه خسارت هایی که باعث ورشکستگی شده اند، بررسی می شود. نیاز برای چنین تحقیقی بدین سبب احساس می شود که در مدل ریسک کل...
15 صفحه اولA Note on the Ruin Probability in the Delayed Renewal Risk Model
Veraverbeke (1977, Stochastic Processes Appl. 5, no. 1, 27–37) and Embrechts and Veraverbeke (1982, Insurance Math. Econom. 1, no. 1, 55–72) obtained a simple asymptotic relation for the ruin probability in the renewal risk model under the assumption that the claim size is heavy tailed. This note points out that the relation still holds in the delayed renewal risk model.
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2019
ISSN: 0096-3003
DOI: 10.1016/j.amc.2019.01.028