Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes

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.

The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results.

Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims

The Finite-time Ruin Probability of the Compound Poisson Model with Constant Interest Force

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regu...

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

A Ruin Model with Dependence between Claim Sizes and Claim Intervals

We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples.