DISCRETE-TIME RISK PROCESSES WITH AFTER-EFFECTS AND ASSOCIATION

作者：Zaphiropoulos George; Zazanis Michael A^*

来源：Stochastic Models, 2010, 26(1): 27-45.

DOI：10.1080/15326340903517105

• Associated random values
• Claims with after-effects
• Diffusion approximation
• Invariance principle
• Risk processes

We present a simple discrete-time model of a risk process in which primary claims are followed by secondary claims representing aftereffects. It is shown that the resulting discrete-time process is associated. Estimates for finite and infinite horizon ruin probabilities are then obtained via a diffusion approximation that is based on the classic Functional Central Limit Theorem of Newman and Wright (1981)([12]) for sequences of associated random variables.

• 出版日期2010