Study of a risk model based on the entrance process
In this paper, we construct a new insurance risk model based on the entrance process and consider the asymptotic behavior of the risk process under the ultimate stability condition on the intensity of the entrance process. We find when the claim size has finite second moment the risk process is asymptotically normal and when the moment condition is dropped the risk process is asymptotically [alpha]-stable under additional restriction on the tail probability of the claim size. Our result provides a case in which the weak convergence property of the random sum of dependent and differently distributioned r.v.'s can be tackled.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 72 (2005)
Issue (Month): 1 (April)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:72:y:2005:i:1:p:1-10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.