IDEAS home Printed from https://ideas.repec.org/a/wsi/igtrxx/v17y2015i01ns0219198915400113.html
   My bibliography  Save this article

Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails

Author

Listed:
  • K. K. Thampi

    (Department of Statistics, SNMC, Mahatma Gandhi University, Kerala 683516, India)

Abstract

This paper establishes a simple asymptotic formula for the finite time ruin probability of a compound renewal risk model with constant interest force. We assume that the claim sizes are Weakly Negatively Dependent (WND) and identically distributed random variables belonging to the class of regularly varying tails. The results obtained have extended and improved some corresponding results of related papers.

Suggested Citation

  • K. K. Thampi, 2015. "Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-14.
    • Handle: RePEc:wsi:igtrxx:v:17:y:2015:i:01:n:s0219198915400113
    DOI: 10.1142/S0219198915400113
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219198915400113
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219198915400113?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Finite time ruin probability; dependent compound renewal model; weakly negatively dependent; regular variation; 62P05; 62E10; 91B30;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • C0 - Mathematical and Quantitative Methods - - General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D7 - Microeconomics - - Analysis of Collective Decision-Making
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:igtrxx:v:17:y:2015:i:01:n:s0219198915400113. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/igtr/igtr.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.