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Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims

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  • Liu, Yang
  • Chen, Zhenlong
  • Fu, Ke-Ang

Abstract

This paper considers a nonstandard renewal risk model with constant force of interest, in which each main claim induces a delayed claim. Assume that the main claim sizes and the inter-arrival times obey a dependence structure, and so do the delayed claim sizes and the arrival times. Supposing that the distributions of the main and delayed claim sizes both have subexponential tails, asymptotic estimate for the finite-time ruin probability of this risk model is obtained, as the initial surplus tends to infinity.

Suggested Citation

  • Liu, Yang & Chen, Zhenlong & Fu, Ke-Ang, 2021. "Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 177(C).
    • Handle: RePEc:eee:stapro:v:177:y:2021:i:c:s016771522100136x
    DOI: 10.1016/j.spl.2021.109174
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    References listed on IDEAS

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    1. Li, Jinzhu, 2013. "On pairwise quasi-asymptotically independent random variables and their applications," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2081-2087.
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    5. Yang, Haizhong & Li, Jinzhu, 2019. "On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 153-159.
    6. Chen, Yiqing, 2020. "A Kesten-type bound for sums of randomly weighted subexponential random variables," Statistics & Probability Letters, Elsevier, vol. 158(C).
    7. Xiao, Yuntao & Guo, Junyi, 2007. "The compound binomial risk model with time-correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 124-133, July.
    8. Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2014. "Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 80-87.
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    Cited by:

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