Asymptotics for a time-dependent by-claim model with dependent subexponential claims

IF 1.9 2区 经济学 Q2 ECONOMICS Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI:10.1016/j.insmatheco.2023.07.001
Meng Yuan , Dawei Lu
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引用次数: 0

Abstract

Consider a by-claim risk model with a constant force of interest, where each main claim may induce a by-claim after a random time. We propose a time-claim-dependent framework, that incorporates dependence between not only the waiting time and the claim but also the main claim and the corresponding by-claim. Based on this framework, we derive some asymptotic estimates for the finite-time ruin probabilities in the case of subexponential claims. We also provide examples and verify the assumptions on dependence. Numerical studies are conducted to examine the performance of these asymptotic formulas.

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具有相依次指数索赔的含时索赔模型的渐近性
考虑一个具有恒定利益力的附带索赔风险模型,其中每个主要索赔可能在随机时间后引发附带索赔。我们提出了一个时间索赔相关框架,该框架不仅包含等待时间和索赔之间的相关性,还包含主索赔和相应的副索赔之间的关系。基于这个框架,我们得到了子指数索赔情况下有限时间破产概率的一些渐近估计。我们还提供了例子并验证了关于依赖性的假设。对这些渐近公式的性能进行了数值研究。
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来源期刊
Insurance Mathematics & Economics
Insurance Mathematics & Economics 管理科学-数学跨学科应用
CiteScore
3.40
自引率
15.80%
发文量
90
审稿时长
17.3 weeks
期刊介绍: Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.
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