Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims

Abstract During extreme events such as natural or man-made disasters, it is likely that after immediate claims directly caused by the events, there are other delayed claims occurring in a certain period of future. In the classical risk model, each immediate claim is accompanied with a delayed one, but in reality each immediate claim can lead to a random number of delayed ones. To this end, we consider an insurance risk model with a random number of delayed claims as well as Brownian perturbation, dependence structures and constant interest force, and explore asymptotic estimations for an insurer’s ruin-related risks exposed to the extreme events. This article provides a novel insight to model and analyze the potential risks by fully considering the ongoing impacts of heavy-tailed claims, and thus accurately assesses the insurer’s operation risk in the long run.

• Publication year

  2023

• Venue

  Stochastic Models

• Publication date

  2023-05-09

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1080/15326349.2023.2209146
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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