ASYMPTOTICS FOR RANDOM-TIME RUIN PROBABILITY IN A TIME-DEPENDENT RENEWAL RISK MODELWITH SUBEXPONENTIAL CLAIMS

被引：3

作者：

Gao, Qingwu ^{[1
,2
]}

Huang, Zhongquan ^{[1
]}

Shen, Houcai ^{[1
]}

Zheng, Juan ^{[3
]}

机构：

[1] Nanjing Univ, Sch Management & Engn, Int Ctr Management Sci & Engn, Nanjing 210093, Jiangsu, Peoples R China

[2] Nanjing Audit Univ, Sch Sci, Nanjing 211815, Jiangsu, Peoples R China

[3] Zaozhuang Univ, Dept Math, Zaozhuang 277160, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2016年 / 12卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Asymptotics; random-time ruin probability; time-dependence; subexponentiality; quasi-asymptotic independence; CONSTANT INTEREST FORCE; UNIFORM ASYMPTOTICS; INDEPENDENT CLAIMS; CONSISTENT VARIATION; BEHAVIOR; DIFFUSION;

D O I：

10.3934/jimo.2016.12.31

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper investigates the asymptotic behavior of the random-time ruin probability in a time-dependent renewal risk model with pairwise quasi-asymptotically independent and subexponential claims, where the time-dependence structure is constructed between a claim size and its inter-arrival time, and described by a conditional tail probability of the claim size given the inter-arrival time before the claim occurs. In particular, the results we obtained are also valid for the finite-time ruin probability.

引用

页码：31 / 43

页数：13

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