相关论文: Uniform asymptotics for a multidimensional renewal…

In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…

In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…

This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We provide asymptotic results for the entrance probability on both…

We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…

In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…

In this paper, we consider a bidimensional renewal risk model with constant force of interest, in which the claim size vector with certain local subexponential marginal distribution and its inter-arrival time are subject to a new…

This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk…

We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…

Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional L\'{e}vy process-based renewal risk model with heterogeneous insurance claims, where every dimension indicates a…

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…

Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur in the time interval [0,t], t\ge 0. In this paper we derive…

Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…

This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted)…

Asymptotic properties, both consistency and weak convergence, of estimators arising in a general class of dynamic recurrent event models are presented. The class of models take into account the impact of interventions after each event…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…

The paper investigates a discrete time Binomial risk model with different types of polices and shock events may influence some of the claim sizes. It is shown that this model can be considered as a particular case of the classical compound…

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result,…

This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this accumulated reward can be regarded as multivariate…

We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…