Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate

ABSTRACT

In this paper, the risk model with constant interest based on an entrance process is investigated. Under the assumptions that the entrance process is a renewal process and the claim sizes satisfy a certain dependency, which belong to the different heavy-tailed distribution classes, the finite-time and infinite-time asymptotic estimates of the risk model with constant interest force are obtained.

KEYWORDS:

• Asymptotic
• constant interest force
• dependence
• ruin probability