Extremes on the Discounted Aggregate Claims in a Time Dependent Risk Model
Author | : Alexandru Vali Asimit |
Publisher | : |
Total Pages | : 16 |
Release | : 2013 |
ISBN-10 | : OCLC:1308978112 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Extremes on the Discounted Aggregate Claims in a Time Dependent Risk Model written by Alexandru Vali Asimit and published by . This book was released on 2013 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables. Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is constant and the claim amounts are heavy tail distributed random variables. Furthermore, we derive asymptotic finite time ruin probabilities, as well as asymptotic approximations for some common risk measures associated with the discounted aggregate claims. A simulation study is performed in order to validate the results obtained in the free interest risk model.