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Risks 2018, 6(4), 135; https://doi.org/10.3390/risks6040135

Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate

College of Mathematics and Statistics, Northwest Normal University, Lanzhou 730070, China
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Received: 2 October 2018 / Revised: 5 November 2018 / Accepted: 15 November 2018 / Published: 20 November 2018
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Abstract

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 claims sizes satisfy a certain dependence structure, which belong to the different heavy-tailed distribution classes, the finite-time asymptotic estimate of the bidimensional risk model with constant interest force is obtained. Particularly, when inter-arrival times also satisfy a certain dependence structure, these formulas still hold. View Full-Text
Keywords: asymptotic; constant interest force; widely lower orthant dependence; ruin probability asymptotic; constant interest force; widely lower orthant dependence; ruin probability
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Xiao, H.; Xie, L. Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate. Risks 2018, 6, 135.

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