A note on a by-claim risk model: Asymptotic results

作者:Li, Jinzhu*
来源:Communications in Statistics - Theory and Methods, 2017, 46(22): 11289-11295.
DOI:10.1080/03610926.2016.1263743

摘要

In this note, we restudy a by-claim risk model with general dependence structures between each main claim and its by-claim. Within the framework of regular variation, we derive some asymptotic expansions for the infinite-time and finite-time ruin probabilities.