Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
β Scribed by Yang Yang; Yuebao Wang; Xijun Liu
- Book ID
- 107347287
- Publisher
- Academy of Mathematics and Systems Science, Chinese Academy of Sciences
- Year
- 2011
- Tongue
- English
- Weight
- 166 KB
- Volume
- 24
- Category
- Article
- ISSN
- 1009-6124
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In this article, we consider two discreteβtime risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive movingβaverage (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be i
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 ty