Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails

This paper establishes a simple asymptotic formula for the finite time ruin probability of a compound renewal risk model with constant interest force. We assume that the claim sizes are Weakly Negatively Dependent (WND) and identically distributed random variables belonging to the class of regularly varying tails. The results obtained have extended and improved some corresponding results of related papers.

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Year of publication:	2015
Authors:	Thampi, K. K.
Published in:	International Game Theory Review (IGTR). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6675. - Vol. 17.2015, 01, p. 1540011-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Finite time ruin probability \| dependent compound renewal model \| weakly negatively dependent \| regular variation

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	B4 - Economic Methodology ; C0 - Mathematical and Quantitative Methods. General ; C6 - Mathematical Methods and Programming ; C7 - Game Theory and Bargaining Theory ; D5 - General Equilibrium and Disequilibrium ; D7 - Analysis of Collective Decision-Making ; M2 - Business Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011279146