Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate

被引：2
|
作者：
Bai, Xiaodong [1 ]
Song, Lixin [2 ]
Wang, Yuebao [3 ]
机构：
[1] Dalian Nationalities Univ, Sch Sci, Dalian, Peoples R China
[2] Dalian Univ Technol, Sch Math Sci, Dalian 116023, Peoples R China
[3] Soochow Univ, Dept Math, Suzhou, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2015年 / 44卷 / 14期
关键词：
Uniform asymptotic; Renewal risk model; Random time ruin probability; Subexponential distribution; HEAVY-TAILED CLAIMS; MODEL;
D O I：
10.1080/03610926.2013.809242
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：
Consider the probability of random time ruin in the renewal risk model with the general nonnegative and non decreasing premium process and constant interest rate. We obtain a uniform asymptotic formula for random time tau and subexponential distribution.
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页码：2976 / 2983
页数：8
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