Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

被引：268

作者：

Wang, Kaiyong ^{[1
,2
]}

Wang, Yuebao ^{[1
]}

Gao, Qingwu ^{[1
,3
]}

机构：

[1] Soochow Univ, Sch Math, Suzhou 215006, Peoples R China

[2] Suzhou Univ Sci & Technol, Sch Math & Phys, Suzhou 215009, Peoples R China

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

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2013年 / 15卷 / 01期

基金：

美国国家科学基金会;

关键词：

Uniform asymptotics; Finite-time ruin probability; Constant interest rate; Widely orthant dependent; DISCOUNTED AGGREGATE CLAIMS; INTEREST FORCE; TAILED CLAIMS; RENEWAL MODEL;

D O I：

10.1007/s11009-011-9226-y

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 gives an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure. This new dependence structure allows the underlying random variables to be either positively or negatively dependent. The obtained asymptotics hold uniformly in a finite time interval. Especially, in the renewal risk model the uniform asymptotics of the finite-time ruin probability for all times have been given. The obtained results have extended and improved some corresponding results.

引用

页码：109 / 124

页数：16

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