IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v127y2017icp49-55.html
   My bibliography  Save this article

A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation

Author

Listed:
  • Li, Jinzhu

Abstract

In this note, we consider a renewal risk model with constant force of interest and Brownian perturbation. Assuming that the claim-size distribution function is from the subexponential class, we derive for the finite-time ruin probability a precise asymptotic expansion, which holds uniformly for any finite time horizon. Our result confirms the intuition that the asymptotic ruin probabilities of risk models with heavy-tailed claims are insensitive to the Brownian perturbation.

Suggested Citation

  • Li, Jinzhu, 2017. "A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 49-55.
    • Handle: RePEc:eee:stapro:v:127:y:2017:i:c:p:49-55
    DOI: 10.1016/j.spl.2017.03.028
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715217301281
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2017.03.028?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Li, Junhai & Liu, Zaiming & Tang, Qihe, 2007. "On the ruin probabilities of a bidimensional perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 185-195, July.
    2. Hao, Xuemiao & Tang, Qihe, 2008. "A uniform asymptotic estimate for discounted aggregate claims with subexponential tails," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 116-120, August.
    3. Veraverbeke, Noel, 1993. "Asymptotic estimates for the probability of ruin in a Poisson model with diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 13(1), pages 57-62, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yujuan Huang & Jing Li & Hengyu Liu & Wenguang Yu, 2021. "Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method," Mathematics, MDPI, vol. 9(9), pages 1-17, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jiang, Tao & Wang, Yuebao & Chen, Yang & Xu, Hui, 2015. "Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 45-53.
    2. Dan Zhu & Ming Zhou & Chuancun Yin, 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions," Mathematics, MDPI, vol. 11(12), pages 1-18, June.
    3. Hongmin Xiao & Lin Xie, 2018. "Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate," Risks, MDPI, vol. 6(4), pages 1-12, November.
    4. Yang, Haizhong & Li, Jinzhu, 2014. "Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 185-192.
    5. Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2017. "Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 227-235.
    6. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
    7. Zhaolei Cui & Yuebao Wang & Hui Xu, 2022. "Local Closure under Infinitely Divisible Distribution Roots and Esscher Transform," Mathematics, MDPI, vol. 10(21), pages 1-24, November.
    8. Anita Behme & Philipp Lukas Strietzel, 2021. "A $$2~{\times }~2$$ 2 × 2 random switching model and its dual risk model," Queueing Systems: Theory and Applications, Springer, vol. 99(1), pages 27-64, October.
    9. Vaios Dermitzakis & Konstadinos Politis, 2011. "Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 749-761, December.
    10. Shimizu, Yasutaka, 2009. "A new aspect of a risk process and its statistical inference," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 70-77, February.
    11. Gao, Qingwu & Liu, Xijun, 2013. "Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1527-1538.
    12. Chiu, S. N. & Yin, C. C., 2003. "The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 59-66, August.
    13. Xiaowen Shen & Kaiyong Wang & Yang Yang, 2024. "Asymptotics for Finite-Time Ruin Probabilities of a Dependent Bidimensional Risk Model with Stochastic Return and Subexponential Claims," Mathematics, MDPI, vol. 12(19), pages 1-12, September.
    14. Peng, Jiangyan & Huang, Jin, 2010. "Ruin probability in a one-sided linear model with constant interest rate," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 662-669, April.
    15. Bai, Xiaodong & Song, Lixin, 2011. "The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1891-1898.
    16. Shen, Xinmei & Zhang, Yi, 2013. "Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1787-1799.
    17. Honglong You & Yuan Gao, 2019. "Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model," Mathematics, MDPI, vol. 7(6), pages 1-11, June.
    18. Jun Cai & Hailiang Yang, 2014. "On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest," Annals of Operations Research, Springer, vol. 212(1), pages 61-77, January.
    19. Wang, Guojing & Wu, Rong, 2000. "Some distributions for classical risk process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 15-24, February.
    20. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:127:y:2017:i:c:p:49-55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.