Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest

Abstract

In this paper, we establish an exact asymptotic formula for the finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest in which claims arrive in groups, their sizes in one group are identically distributed but negatively dependent, and the inter-arrival times between groups are negatively dependent too.

Keywords

Finite-time ruin probability / compound renewal risk model / heavy tail / negative dependence

References

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