Infinite-time Ruin Probability of a Discrete-time Risk Model with Dependent Claims

DOI

10.2991/sshme-16.2016.13How to use a DOI?

Keywords

One-sided linear process; Discrete-time risk model; Heavy-tailed innovations; Asymptotic estimate

Abstract

The infinite-time ruin probability of a discrete-time risk model with dependent claims and heavy-tailed innovations is investigated in this paper. The claims are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations. Stochastic discount factors, which are independent of the innovations, and constant premium rate are taken into account. As a result, we establish an asymptotic estimate for the infinite-time ruin probability.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Rongfei Liu
PY  - 2016/06
DA  - 2016/06
TI  - Infinite-time Ruin Probability of a Discrete-time Risk Model with Dependent Claims
BT  - Proceedings of the 2016 International Conference on Social Science, Humanities and Modern Education (SSHME 2016)
PB  - Atlantis Press
SP  - 66
EP  - 70
SN  - 2352-5398
UR  - https://doi.org/10.2991/sshme-16.2016.13
DO  - 10.2991/sshme-16.2016.13
ID  - Liu2016/06
ER  -