The ruin probability of a discrete risk model with unilateral linear dependent claims-Reference-Cited by-同舟云学术

The ruin probability of a discrete risk model with unilateral linear dependent claims

Published:2024 Issue:4 Volume:9 Page:9785-9807
ISSN:2473-6988
Container-title:AIMS Mathematics
language:
Short-container-title:MATH

Author:

Yuan Huifang¹²,Jiang Tao¹³,Xiao Min¹

Affiliation:

1. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, 310018, China

2. School of Mathematics and Statistics, Zaozhuang University, Zaozhaung, 277000, China

3. Zhejiang Gongshang University Hangzhou College of Commerce, Tonglu, 311500, China

Abstract

<abstract><p>This article focuses on analyzing the finite-time ruin probability within a specific class of discrete risk models. These models incorporate dependent claims, an interest rate component, and stationary noise terms exhibiting semi-heavy-tailed behavior. In this framework, the claim amount follows a unilateral linear dependent process with independent and identically distributed noise terms, while the discount factor is determined by both the interest rate and time. The finite-time ruin probability has been derived under insurance risk conditions resembling the gamma distribution.</p></abstract>

Publisher

American Institute of Mathematical Sciences (AIMS)

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