Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula.     

Uniform asymptotics for finite-time ruin probability of a bidimensional risk model

Consider a continuous-time bidimensional risk model with constant force of interest in which the claim sizes from the same business are heavy-tailed and upper tail asymptotically independent. We investigate two cases: one is that the two claim-number processes are arbitrarily dependent, and the other is that the two corresponding claim inter-arrival times from different lines are positively quadrant dependent. Some uniformly asymptotic formulas for finite-time ruin probability are established.     

常息力更新场合有限时间破产概率对负相依索赔额的不敏感性

设索赔来到过程为具有常数利息力度的更新风险模型.在索赔额分布为负相依的次指数分布假定下,建立了有限时间破产概率的一个渐近等价公式.所得结果显示,在独立同分布索赔额情形,有限时间破产概率的有关渐近等价公式,在负相依场合依然成立.这表明有限时间破产概率对于索赔额的负相依结构是不敏感的.     

Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest

In the paper, we study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed.     

带利率的更新风险模型的破产概率的上界估计

本研究了在常利率条件下普通更新风险模型的破产概率问题．采用一种递推的方法给出了这种情况下破产概率的一个上界估计．     

Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

This paper investigates the finite-time ruin probability in the dependent renewal risk model, where the claim sizes are independent and identically distributed random variables with strongly subexponential tails, and the interarrival times are negatively dependent. We establish an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line.     

Asymptotic behaviour of the finite‐time ruin probability in renewal risk models

In this paper we study the tail behaviour of the probability of ruin within finite time t, as initial risk reserve x tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for t∈[f(x), ∞), where f(x) is an infinitely increasing function, and substantially extends the result of Tang (Stoch. Models 2004; 20 :281–297) obtained for the class of claim distributions with consistently varying tails. Two examples illustrate the result. Copyright © 2008 John Wiley & Sons, Ltd.     

更新风险模型中破产概率的一个局部结果

进一步研究延迟更新风险模型,在假定个体索赔额是重尾分布的前提下得到了破产概率的一个局部等价式R(x,x z]～z/ρμ^-F(x),其中F表示索赔额的分布函数,μ为其均值,ρ表示模型的安全负荷系数,极限过程是x→∞．并且对Sparre Anderson模型作了推广,得到了相应的结果．     

The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

Recently, Tang [Tang, Q., 2005a. Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Scand. Actuar. J. (1), 1–5] obtained a simple asymptotic formula for the ruin probability of the renewal risk model with constant interest force and regularly varying tailed claims. In this paper, we use a completely different approach to extend Tang’s result to the case in which the claims are pairwise negatively dependent and extended regularly varying tailed.     

Asymptotics for the ruin probabilities of a two‐dimensional renewal risk model with heavy‐tailed claims

In this paper, we consider two dependent classes of insurance business with heavy‐tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two‐dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite‐time ruin probability. These formulae possess a certain uniformity feature in the time horizon. Copyright © 2010 John Wiley & Sons, Ltd.     

Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

In this paper, an insurer is allowed to make risk-free and risky investments, and the price process of the investment portfolio is described as an exponential Lévy process. We study the asymptotic tail behavior for a non-standard renewal risk model with dependence structures. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed step sizes, and the step sizes and inter-arrival times form a sequence of independent and identically distributed random pairs with a dependence structure. When the step-size distribution is heavy tailed, we obtain some uniform asymptotics for the finite-and infinite-time ruin probabilities.     

Survival probability and ruin probability of a risk model

In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special casc cxponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.     

关于更新风险模型中破产概率的若干结果

进一步研究了更新风险模型中破产概率的问题，在假定索赔额分布是重尾时，证明了若干重要结果，得到了与经典的Crammer—Lunderberg模型相一致的结论．并义推广和改进了部分已有文献中的结果。     

The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims

In this paper, we obtain the uniform estimate for discounted aggregate claims in the continuous-time renewal model of upper-tailed independent and heavy-tailed random variables. With constant interest force and constant premium rate, we establish a uniform simple asymptotic formula for ruin probability of the renewal model in the case where the initial surplus is large.     

常利率因素下的双险种风险模型

本文引入了一类常利率因素下的双险种风险模型,就不带干扰和带干扰两个方面进行讨论,给出了破产概率Ψ（u）的显式表达式和Lundberg上界。     

Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

This paper considers a bidimensional continuous-time renewal risk model of insurance business with different claim-number processes and strongly subexponential claims. For the finite-time ruin probability defined as the probability for the aggregate surplus process to break down the horizontal line at the level zero within a given time, an uniform asymptotic formula is established, which provides new insights into the solvency ability of the insurance company.     

Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate

The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.     

Ruin probabilities of a bidimensional risk model with investment

We consider a classical risk model with the possibility of investment. We study two types of ruin in the bidimensional framework. Using the martingale technique, we obtain an upper bound for the infinite-time ruin probability with respect to the ruin time T_max(u₁,u₂). For each type of ruin, we derive an integral-differential equation for the survival probability, and an explicit asymptotic expression for the finite-time ruin probability.     

Ruin probability of the renewal model with risky investment and large claims

The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper. For claim sizes with common distribution of extended regular variation, we study the asymptotic behaviour of the ruin probability. As a corollary, we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims. This work was supported by National Natural Science Foundation of China (Grant Nos. 10571167, 70501028), the Beijing Sustentation Fund for Elitist (Grant No. 20071D1600800421), the National Social Science Foundation of China (Grant No. 05&ZD008) and the Research Grant of Renmin University of China (Grant No. 08XNA001)     

Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

This paper studies a continuous-time multidimensional risk model with constant force of interest and dependence structures among random factors involved. The model allows a general dependence among the claim-number processes from different insurance businesses. Moreover, we utilize the framework of multivariate regular variation to describe the dependence and heavy-tailed nature of the claim sizes. Some precise asymptotic expansions are derived for both finite-time and infinite-time ruin probabilities.