A note on a dependent risk model with constant interest rate

被引：94

作者：

Liu, Xijun ^{[2
]}

Gao, Qingwu ^{[3
]}

Wang, Yuebao ^{[1
]}

机构：

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

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

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

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 04期

基金：

美国国家科学基金会;

关键词：

Uniform asymptotics; Finite-time ruin probability; Constant interest rate; Upper tail asymptotic independence; Widely lower orthant dependence; TIME RUIN PROBABILITY; DISCOUNTED AGGREGATE CLAIMS; HEAVY-TAILED CLAIMS; INTEREST FORCE; RENEWAL MODEL;

D O I：

10.1016/j.spl.2011.12.016

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：

For a dependent risk model with constant interest rate, in which the claim sizes form a sequence of upper tail asymptotically independent and identically distributed random variables, and their inter-arrival times are another sequence of widely lower orthant dependent and identically distributed random variables, we will give an asymptotically equivalent formula for the finite-time ruin probability. The obtained asymptotics holds uniformly in an arbitrarily finite-time interval. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：707 / 712

页数：6

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