The limit behavior of a risk model based on entrance processes

  • Authors:

  • Hongmin Xiao;Zehui Li;Weiwei Liu

  • Affiliations:

  • School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000, PR China and College of Mathematics and Information Science, Northwest Normal University, Lanzhou 730070, PR China;School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000, PR China;School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000, PR China

  • Venue:
  • Computers & Mathematics with Applications
  • Year:
  • 2008

Quantified Score

Hi-index 0.09

Visualization

Abstract

We construct a new insurance risk model based on the entrance process by incorporating a constant force of interest and by allowing a policy to be claimed more than once during its validity term, and study the central limit theorem of the correlative risk process. For fixed t, the distribution of the risk process is investigated. By using the theory of the canonical measure, we show that the risk process is asymptotically @a-stably distributed when the net profit of a policy belongs to the domain of attraction of an @a-stable distribution with index @a(0