The ruin probability of a discrete risk model with unilateral linear dependent claims

Abstract

This article focuses on analyzing the finite-time ruin probability within a specific class of discrete risk models. These models incorporate dependent claims, an interest rate component, and stationary noise terms exhibiting semi-heavy-tailed behavior. In this framework, the claim amount follows a unilateral linear dependent process with independent and identically distributed noise terms, while the discount factor is determined by both the interest rate and time. The finite-time ruin probability has been derived under insurance risk conditions resembling the gamma distribution.

Keywords

• semi-heavy-tailed
• unilateral linear dependence
• stationary noise
• finite-time ruin probability