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

Dimitrios G. Konstantinides; Dimitrios G. Konstantinides

doi:10.3934/QFE.2018.3.717

Quantitative Finance and Economics

2018, Volume 2, Issue 3: 717-732. doi: 10.3934/QFE.2018.3.717

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

Dimitrios G. Konstantinides ^,

Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi,GR-83 200 Samos, Greece

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
- asymptotics,
- premium process,
- claim process
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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Abstract

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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