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Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims

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Abstract

Consider a continuous-time renewal risk model, in which every main claim induces a delayed by-claim. Assume that the main claim sizes and the inter-arrival times form a sequence of identically distributed random pairs, with each pair obeying a dependence structure, and so do the by-claim sizes and the delay times. Supposing that the main claim sizes with by-claim sizes form a sequence of dependent random variables with dominatedly varying tails, asymptotic estimates for the ruin probability of the surplus process are investigated, by establishing a weakly asymptotic formula, as the initial surplus tends to infinity.

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Authors and Affiliations

  1. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, 310018, China

    Ke-ang Fu, Yu-yang Qiu & An-ding Wang

Authors
  1. Ke-ang Fu
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  2. Yu-yang Qiu
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  3. An-ding Wang
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Corresponding author

Correspondence to Yu-yang Qiu.

Additional information

Supported by the National Natural Science Foundation of China (11301481, 11201422, 11371321), Zhejiang Provincial Key Research Base for Humanities and Social Science Research (Statistics), and Foundation for Young Talents of ZJGSU (1020XJ1314019).

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Fu, Ka., Qiu, Yy. & Wang, Ad. Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims. Appl. Math. J. Chin. Univ. 30, 347–360 (2015). https://doi.org/10.1007/s11766-015-3297-4

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  • DOI: https://doi.org/10.1007/s11766-015-3297-4

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