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Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims
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Qingwu Gao
Published/Copyright:
February 23, 2012
In this paper, we investigate the asymptotic behavior of the finite-time ruin probability in a general risk model with constant interest force, in which the claims are of a widely upper orthant dependence structure, belonging to the intersection of long-tailed class and dominant variation class, and arriving according to an arbitrary counting process. The results we obtained can extend and improve some existing results.
Keywords: asymptotics; constant interest force; widely upper orthant dependence; counting process; finite-time ruin probability; stochastic premiums
Published Online: 2012-2-23
©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Keywords for this article
asymptotics;
constant interest force;
widely upper orthant dependence;
counting process;
finite-time ruin probability;
stochastic premiums
Articles in the same Issue
- Featured Article
- Political Risk Insurance and Foreign Direct Investments
- Why Some Disaster Insurance Does not Exist
- Demographic Shift and Financial Markets in APEC: New Age Solutions to Age Old Challenges
- Modified Logistic Model for Mortality Forecasting and the Application of Mortality-Linked Securities
- Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims
- Risk Reporting Practices of Indian Companies in the SENSEX
