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The finite-time ruin probability for ND claims with constant interest force

Author

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  • Kong, Fanchao
  • Zong, Gaofeng

Abstract

This paper established a simple asymptotic formula for the finite-time ruin probability of a nonstandard compound Poisson model in which the claims are negatively dependent (ND).

Suggested Citation

  • Kong, Fanchao & Zong, Gaofeng, 2008. "The finite-time ruin probability for ND claims with constant interest force," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 3103-3109, December.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:17:p:3103-3109
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    References listed on IDEAS

    as
    1. Chen, Yiqing & Ng, Kai W., 2007. "The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 415-423, May.
    2. Chen, Yu & Zhang, Weiping, 2007. "Large deviations for random sums of negatively dependent random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(5), pages 530-538, March.
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    Cited by:

    1. 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.
    2. Kaiyong Wang & Yuebao Wang & Qingwu Gao, 2013. "Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 109-124, March.
    3. 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.
    4. Liu, Xijun & Gao, Qingwu & Wang, Yuebao, 2012. "A note on a dependent risk model with constant interest rate," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 707-712.

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