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Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force. (English) Zbl 1309.91075

Authors’ abstract: This paper will obtain an asymptotic formula of the finite-time ruin probability in a generalized risk model with constant interest force, in which the claim sizes are pairwise quasi-asymptotically independent and their arrival process is an arbitrary counting process. In particular, when the claim inter-arrival times follow a certain dependence structure, the result obtained can also include an asymptotic formula for the infinite-time ruin probability.

MSC:

91B30 Risk theory, insurance (MSC2010)
60K20 Applications of Markov renewal processes (reliability, queueing networks, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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References:

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