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

Author

Listed:
  • Hongmin Xiao

    (College of Mathematics and Statistics, Northwest Normal University, Lanzhou 730070, China)

  • Lin Xie

    (College of Mathematics and Statistics, Northwest Normal University, Lanzhou 730070, China)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:4:p:135-:d:184072
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    References listed on IDEAS

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