Infinite-time Ruin Probability of a Discrete-time Risk Model with Dependent Claims

被引：0

作者：

Liu, Rongfei ^{[1
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Sichuan, Peoples R China

来源：

PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON SOCIAL SCIENCE, HUMANITIES AND MODERN EDUCATION (SSHME 2016) | 2016年 / 67卷

关键词：

One-sided linear process; Discrete-time risk model; Heavy-tailed innovations; Asymptotic estimate;

D O I：

暂无

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

The infinite-time ruin probability of a discrete-time risk model with dependent claims and heavy-tailed innovations is investigated in this paper. The claims are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations. Stochastic discount factors, which are independent of the innovations, and constant premium rate are taken into account. As a result, we establish an asymptotic estimate for the infinite-time ruin probability.

引用

页码：66 / 70

页数：5

共 50 条

[1] The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
Li, Jinzhu
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (04) : 1959 - 1971
[2] Ruin Probability for Discrete-time Risk Model with Stochastic Rates of Interest and Dependent Claims
Gao, Fenglong
Wang, Dingcheng
[J]. 2010 INTERNATIONAL CONFERENCE ON INFORMATION, ELECTRONIC AND COMPUTER SCIENCE, VOLS 1-3, 2010, : 325 - 327
[3] Probability of ruin in a discrete-time risk model
Picard, P
Lefèvre, C
[J]. JOURNAL OF APPLIED PROBABILITY, 2003, 40 (03) : 543 - 556
[4] Ruin probability for the bi-seasonal discrete time risk model with dependent claims
Navickiene, Olga
Sprindys, Jonas
Siaulys, Jonas
[J]. MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2019, 6 (01): : 133 - 144
[5] INFINITE-TIME RUIN PROBABILITY OF ARE NEWAL RISK MODEL WITH EXPONENTIAL LEVY PROCESS INVESTMENT AND DEPENDENT CLAIMS AND INTER-ARRIVAL TIMES
Liu, Rongfei
Wang, Dingcheng
Peng, Jiangyan
[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2017, 13 (02) : 995 - 1007
[6] The Infinite-Time Ruin Probability for a Bidimensional Risk Model with Dependent Geometric Le?vy Price Processes
Wang, Bingjie
Cheng, Dongya
Yan, Jigao
[J]. FILOMAT, 2022, 36 (11) : 3641 - 3654
[7] Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model
Yang Yang
Xinzhi Wang
Shaoying Chen
[J]. Methodology and Computing in Applied Probability, 2022, 24 : 1221 - 1236
[8] Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model
Yang, Yang
Wang, Xinzhi
Chen, Shaoying
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (02) : 1221 - 1236
[9] Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
Yang, Yang
Zhang, Ting
Yuen, Kam C.
[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 321 : 143 - 159
[10] Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
Yang, Yang
Yuen, Kam C.
[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 442 (02) : 600 - 626

← 1 2 3 4 5 →