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Ruin probabilities for a double renewal risk model with frequent premium arrivals

  • Received: 27 May 2018 Accepted: 06 August 2018 Published: 27 August 2018
  • JEL Codes: G22, G23

  • In this paper a double renewal risk model is studied. The claims represent an i.i.d. sequence of random variables and the premiums represent another sequence of random variables with extended negative dependence. The corresponding two arrival processes have di erent intensities, which correspond to consideration of frequent arrivals of premiums. The ultimate ruin probability is asymptotically estimated when the initial capital tends to infinity

    Citation: Dimitrios G. Konstantinides. Ruin probabilities for a double renewal risk model with frequent premium arrivals[J]. Quantitative Finance and Economics, 2018, 2(3): 717-732. doi: 10.3934/QFE.2018.3.717

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  • In this paper a double renewal risk model is studied. The claims represent an i.i.d. sequence of random variables and the premiums represent another sequence of random variables with extended negative dependence. The corresponding two arrival processes have di erent intensities, which correspond to consideration of frequent arrivals of premiums. The ultimate ruin probability is asymptotically estimated when the initial capital tends to infinity


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