Asymptotic ruin probabilities for a kind of delayed-claims risk modelunder heavy tailed conditions
首发时间:2015-12-11
Abstract:This paper investigates a kind of risk model in whicheach main claim induces a delayed claim called by-claim. The paperassumes that both main claims and by-claims are heavy tailed, morespecifically, are regularly varying at infinity. Under theassumption that the delay times are bounded, the paper obtains theasymptotic ruin probabilities for both risk models without and withthe constant force of interest. It is worth saying that thetreatment in this paper allows a special dependent structure on eachmain claim and its by-claim.
keywords: probability asymptotics by-claim negligible jointtail regular variation ruin
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No.4668924112052914****
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