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Asymptotic ruin probabilities for a kind of delayed-claims risk modelunder heavy tailed conditions
LI Jin-Zhu
School of Mathematical Sciences, Nankai University, Tianjin 300071
*Correspondence author
#Submitted by
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Funding: Research Fund for the Doctoral Program of Higher Education ofChina （No.20110031120003）
Opened online:11 December 2015
Accepted by: none
Citation: LI Jin-Zhu.Asymptotic ruin probabilities for a kind of delayed-claims risk modelunder heavy tailed conditions[OL]. [11 December 2015] http://en.paper.edu.cn/en_releasepaper/content/4668924
 
 
This paper investigates a kind of risk model in whicheach main claim induces a delayed claim called by-claim. The paperassumes that both main claims and by-claims are heavy tailed, morespecifically, are regularly varying at infinity. Under theassumption that the delay times are bounded, the paper obtains theasymptotic ruin probabilities for both risk models without and withthe constant force of interest. It is worth saying that thetreatment in this paper allows a special dependent structure on eachmain claim and its by-claim.
Keywords:probability; asymptotics; by-claim; negligible jointtail; regular variation; ruin
 
 
 

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