Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations

Jing, Haojie; Peng, Jiangyan; Jiang, Zhiquan; Bao, Qian

doi:10.1080/03610926.2020.1801740

Cited by 2 publications

(1 citation statement)

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“…We refer to Chen et al [ 34 ] and Fu et al [ 35 ] for some recent contributions on this topic. Cheng and Wang [ 36 ], Yang et al [ 37 ], and Jing et al [ 38 ] considered the asymptotic ruin probabilities in risk models with dependence among the claim sizes. Xun et al [ 39 ] obtained the uniformly asymptotic result of ruin probability in a general risk model with stochastic premiums.…”

Section: Asymptotic Formula For the Finite-time Ruin Probabilitymentioning

confidence: 99%

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

Guo

Wang

2023

Entropy

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In this paper, we propose a new discrete-time risk model of an insurance portfolio with stochastic premiums, in which the temporal dependence among the premium numbers of consecutive periods is fitted by the first-order integer-valued autoregressive (INAR(1)) process and the temporal dependence among the claim numbers of consecutive periods is described by the integer-valued moving average (INMA(1)) process. To measure the risk of the model quantitatively, we study the explicit expression for a function whose solution is defined as the Lundberg adjustment coefficient and give the Lundberg approximation formula for the infinite-time ruin probability. In the case of heavy-tailed claim sizes, we establish the asymptotic formula for the finite-time ruin probability via the large deviations of the aggregate claims. Two numerical examples are provided in order to illustrate our theoretical findings.

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