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AIMS Mathematics

2024, Volume 9, Issue 4: 9785-9807. doi: 10.3934/math.2024479
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The ruin probability of a discrete risk model with unilateral linear dependent claims

  • 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
  • Received: 11 November 2023 Revised: 27 February 2024 Accepted: 05 March 2024 Published: 11 March 2024

  • MSC : 60F99

  • 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.

    Citation: Huifang Yuan, Tao Jiang, Min Xiao. The ruin probability of a discrete risk model with unilateral linear dependent claims[J]. AIMS Mathematics, 2024, 9(4): 9785-9807. doi: 10.3934/math.2024479

    Related Papers:

  • 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.


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