The limit behavior of a risk model based on entrance processes
- Xiao, Hongmin
- Li, Zehui
- Liu, Weiwei
DOIAbstract
AbstractWe 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 α-stably distributed when the net profit of a policy belongs to the domain of attraction of an α-stable distribution with index α(0<α≤2). Finally, we consider a special case in which each policy is restricted to being claimed at most once and obtain the weak convergence results under two very explicit moment condit...
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