Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

被引：23

作者：

Gao, Qingwu ^{[1
]}

Liu, Xijun ^{[2
]}

机构：

[1] Nanjing Audit Univ, Sch Math & Stat, Nanjing 211815, Jiangsu, Peoples R China

[2] First Aeronaut Coll AF, Fdn Dept, Xinyang 464000, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 06期

关键词：

Uniform asymptotics; Finite-time ruin probability; Upper tail asymptotic independence; Counting process; Widely lower orthant dependence; DISCOUNTED AGGREGATE CLAIMS; RANDOMLY WEIGHTED SUMS; RANDOM-VARIABLES; MODEL; INSURANCE;

D O I：

10.1016/j.spl.2013.02.018

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper investigates the finite-time ruin probability in a risk model with constant force of interest, upper tail asymptotically independent claims, and a general claim arrival process. We obtain a uniformly asymptotic formula for times in a finite interval. In particular, with a certain dependence among the inter-arrival times, the formula holds uniformly for all times. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：1527 / 1538

页数：12

共 25 条

[1] Extremes on the discounted aggregate claims in a time dependent risk model [J].

Asimit, Alexandru V. ;

Badescu, Andrei L. .

SCANDINAVIAN ACTUARIAL JOURNAL, 2010, (02) :93-104

[2]

Bingham N.H., 1989, REGULAR VARIATION

[3]

Chen Y., 2010, ASIA PAC J RISK INSU, V4, P4, DOI DOI 10.2202/2153-3792.1055.ARTICLE

[4] Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models [J].

Chen, Yang ;

Wang, Le ;

Wang, Yuebao .

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2013, 401 (01) :114-129

[5] The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims [J].

Chen, Yiqing ;

Ng, Kai W. .

INSURANCE MATHEMATICS & ECONOMICS, 2007, 40 (03) :415-423

[6] Precise large deviations of aggregate claims in a size-dependent renewal risk model [J].

Chen, Yiqing ;

Yuen, Kam C. .

INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (02) :457-461

[7] Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation [J].

Chen, Yiqing ;

Yuen, Kam C. .

STOCHASTIC MODELS, 2009, 25 (01) :76-89

[8] SUBEXPONENTIALITY OF THE PRODUCT OF INDEPENDENT RANDOM-VARIABLES [J].

CLINE, DBH ;

SAMORODNITSKY, E .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1994, 49 (01) :75-98

[9]

Embrechts P., 1997, MODELLING EXTREMAL E, DOI [DOI 10.1007/978-3-642-33483-2, 10.1007/978-3-642-33483-2]

[10]

Gao Q., 2012, ROCKY MOUNT IN PRESS

← 1 2 3 →