Asymptotics for ultimate ruin probability in a by-claim risk model
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| Format: | Artículo científico |
| Langue: | en |
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Vilniaus Universitetas
2021
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| _version_ | 1876475005482565632 |
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| author | Aili Zhang |
| author_facet | Aili Zhang |
| contents | Asymptotics for ultimate ruin probability in a by-claim risk model Aili Zhang Shuang Liu Yang Yang Matemáticas claim main claim and by asymptotic behavior Ultimate ruin probability bivariate regular variation This paper considers a by-claim risk model with constant interest rate in which the main claim and by-claim random vectors form a sequence of independent and identically distributed random pairs with each pair obeying some certain dependence or arbitrary dependence structure. Under the assumption of heavy-tailed claims, we derive some asymptotic formulas for ultimate ruin probability. Some simulation studies are also performed to check the accuracy of the obtained theoretical results via the crude Monte Carlo method. 2021 artículo científico 1392-5113 https://www.redalyc.org/articulo.oa?id=694172869005 https://www.redalyc.org/journal/6941/694172869005/ https://www.redalyc.org/journal/6941/694172869005/html/ https://www.redalyc.org/journal/6941/694172869005/694172869005.epub https://www.redalyc.org/journal/6941/694172869005/movil https://doi.org/10.15388/namc.2021.26.20948 en http://www.redalyc.org/revista.oa?id=6941 Nonlinear Analysis: Modelling and Control application/pdf Vilniaus Universitetas Nonlinear Analysis: Modelling and Control (Lituania) Num.2 Vol.26 |
| format | Artículo científico |
| id | redalyc_694172869005 |
| institution | Redalyc |
| language | en |
| publishDate | 2021 |
| publisher | Vilniaus Universitetas |
| spellingShingle | Asymptotics for ultimate ruin probability in a by-claim risk model Aili Zhang Matemáticas claim main claim and by asymptotic behavior Ultimate ruin probability bivariate regular variation Asymptotics for ultimate ruin probability in a by-claim risk model Aili Zhang Shuang Liu Yang Yang Matemáticas claim main claim and by asymptotic behavior Ultimate ruin probability bivariate regular variation This paper considers a by-claim risk model with constant interest rate in which the main claim and by-claim random vectors form a sequence of independent and identically distributed random pairs with each pair obeying some certain dependence or arbitrary dependence structure. Under the assumption of heavy-tailed claims, we derive some asymptotic formulas for ultimate ruin probability. Some simulation studies are also performed to check the accuracy of the obtained theoretical results via the crude Monte Carlo method. 2021 artículo científico 1392-5113 https://www.redalyc.org/articulo.oa?id=694172869005 https://www.redalyc.org/journal/6941/694172869005/ https://www.redalyc.org/journal/6941/694172869005/html/ https://www.redalyc.org/journal/6941/694172869005/694172869005.epub https://www.redalyc.org/journal/6941/694172869005/movil https://doi.org/10.15388/namc.2021.26.20948 en http://www.redalyc.org/revista.oa?id=6941 Nonlinear Analysis: Modelling and Control application/pdf Vilniaus Universitetas Nonlinear Analysis: Modelling and Control (Lituania) Num.2 Vol.26 |
| title | Asymptotics for ultimate ruin probability in a by-claim risk model |
| topic | Matemáticas claim main claim and by asymptotic behavior Ultimate ruin probability bivariate regular variation |
| url | https://www.redalyc.org/articulo.oa?id=694172869005 https://www.redalyc.org/journal/6941/694172869005/ https://www.redalyc.org/journal/6941/694172869005/html/ https://www.redalyc.org/journal/6941/694172869005/694172869005.epub https://www.redalyc.org/journal/6941/694172869005/movil https://doi.org/10.15388/namc.2021.26.20948 |