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

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