City Research Online

Abstract

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables (rv's). Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is constant and the claim amounts are heavy tail distributed rv's. Furthermore, we derive asymptotic finite time ruin probabilities, as well as asymptotic approximations for some common risk measures associated with the discounted aggregate claims. A simulation study is performed in order to validate the results obtained in the free interest risk model.

Publication Type:	Article
Additional Information:	This is an Accepted Manuscript of an article published by Taylor & Francis in Scandinavian Actuarial Journal on 1st Oct 2008, available online: http://wwww.tandfonline.com/10.1080/03461230802700897
Publisher Keywords:	Compound Poisson risk model, Dependence, Discounted aggregate loss, Subexponential distribution, Value-at-risk
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Actuarial Science & Insurance
Related URLs:	https://ssrn.com/abstract=2323516
SWORD Depositor:	Symplectic Administrator

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