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Uniform Asymptotics for a Delay-Claims Risk Model with Constant Force of Interest and By-Claims Arriving according to a Counting Process

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  • Qingwu Gao
  • Xijun Liu

Abstract

The insurance risk model involving main claims and by-claims has been traditionally studied under the assumption that every main claim may be accompanied with a by-claim occurring after a period of delay, but in reality each main claim can cause many by-claims arriving according to a counting process. To this end, we construct a new insurance risk model that is also perturbed by diffusion with constant force of interest. In the presence of heavy tails and dependence structures among modelling components, we obtain some asymptotic results for the finite-time ruin probability and the tail probability of discounted aggregate claims, where the results hold uniformly for all times in a finite or infinite interval.

Suggested Citation

  • Qingwu Gao & Xijun Liu, 2019. "Uniform Asymptotics for a Delay-Claims Risk Model with Constant Force of Interest and By-Claims Arriving according to a Counting Process," Mathematical Problems in Engineering, Hindawi, vol. 2019, pages 1-15, February.
    • Handle: RePEc:hin:jnlmpe:6385647
    DOI: 10.1155/2019/6385647
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