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Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims
Methodology and Computing in Applied Probability ( IF 1.0 ) Pub Date : 2022-01-10 , DOI: 10.1007/s11009-021-09921-2
Dawei Lu 1, 2 , Meng Yuan 1
Affiliation  

This paper considers a bidimensional delay-claim risk model with constant force of interest, in which each main claim may induce a delayed claim after a random time. Specifically, if the main claims and delayed claims follow the subexponential distributions with some dependence structure, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.



中文翻译:

具有次指数声明的二维延迟声明风险模型的渐近有限时间破坏概率

本文考虑了一个具有恒定兴趣力的二维延迟索赔风险模型,其中每个主要索赔都可能在随机时间后引发延迟索赔。具体来说,如果主要索赔和延迟索赔遵循具有某种依赖结构的次指数分布,我们可以获得有限时间破产概率的一些精确的渐近估计。此外,还给出了一些数值模拟来检验理论结果的性能。

更新日期:2022-01-11
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