Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process

DOI10.1155/2019/6385647MaRDI QIDQ2298661zbMATH OpenOpenAlexWikidataFDO

Authors Qingwu Gao, Xijun Liu

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/6385647

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Review text

Summary: The insurance risk model involving main claims and by-claims has been traditionally studied under the assumption that every main claim may be accompanied with a by-claim occurring after a period of delay, but in reality each main claim can cause many by-claims arriving according to a counting process. To this end, we construct a new insurance risk model that is also perturbed by diffusion with constant force of interest. In the presence of heavy tails and dependence structures among modelling components, we obtain some asymptotic results for the finite-time ruin probability and the tail probability of discounted aggregate claims, where the results hold uniformly for all times in a finite or infinite interval.

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Cited in

(7)

• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• Asymptotics for ultimate ruin probability in a by-claim risk model
• The uniform local asymptotics of the bidimensional discounted aggregate claim process
• Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
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