Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate

Xiao Hongmin; Xie Lin

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Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate

机译：基于恒定利率进入过程的相依更新风险模型的渐近破产概率

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摘要

In this paper, the risk model with constant interest based on an entrance process is investigated. Under the assumptions that the entrance process is a renewal process and the claim sizes satisfy a certain dependency, which belong to the different heavy-tailed distribution classes, the finite-time and infinite-time asymptotic estimates of the risk model with constant interest force are obtained.

机译：本文研究了基于进入过程的具有恒定利率的风险模型。假设进入过程是续签过程，并且索赔额满足一定的依赖性，属于不同的重尾分布类别，则具有恒定利率的风险模型的有限时间和无限时间渐近估计为获得。

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《Communications in Statistics》 |2018年第24期|5396-5417|共22页
作者
Xiao Hongmin; Xie Lin;
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作者单位

Northwest Normal Univ, Coll Math & Informat Sci, Lanzhou 730070, Gansu, Peoples R China;

Northwest Normal Univ, Coll Math & Informat Sci, Lanzhou 730070, Gansu, Peoples R China;

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正文语种 eng
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关键词
Asymptotic; constant interest force; dependence; ruin probability;

机译：渐近;恒利率;依赖;破产概率;

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1. Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate [J] . Hongmin Xiao, Lin Xie Risks . 2018,第4期

机译：固定利率进入过程的二维风险模型的渐近破产概率
2. Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims [J] . Haizhong Yang, Jinzhu Li Insurance . 2014,第sepa期

机译：具有恒定利率和从属次指数要求的二维更新风险模型的渐近有限时间破产概率
3. Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims [J] . Yang Y, Wang YB Statistics & Probability Letters . 2010,第3a4期

机译：具有恒定利率和主导变化尾项的某些负相关风险模型的破产概率渐近性
4. Asymptotics for the finite-time ruin probability and empirical analysis in the dependent risk model [C] . Yang Yang, Ma Xin The 2nd International Conference on Information Science and Engineering . 2010

机译：依赖时间风险模型的有限时间破产概率渐近性与实证分析
5. Renewal risk processes with stochastic returns on investments: A unified approach and analysis of the ruin probabilities. [D] . Constantinescu, Corina D. 2006

机译：具有随机投资回报的更新风险过程：统一的方法和破产概率的分析。
6. Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns [O] . Yinghua Dong, Dingcheng Wang -1

机译：具有随机收益的二维非标准更新风险模型中破产概率的一致渐近性
7. Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate [O] . Hongmin Xiao, Lin Xie 2018

机译：基于恒定利率的入学过程的趋向风险模型的渐近破坏概率

Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate

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