Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

被引：27

作者：

Jiang, Tao ^{[1
]}

Wang, Yuebao ^{[2
]}

Chen, Yang ^{[2
,3
]}

Xu, Hui ^{[2
]}

机构：

[1] Zhejiang Gongshang Univ, Sch Math & Stat, Hangzhou 310018, Peoples R China

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

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

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2015年 / 64卷

基金：

美国国家科学基金会;

关键词：

Subexponential distribution; Time dependence; Bidimensional renewal model; Finite-time ruin probabilities; Uniform asymptotic estimate; CONSTANT INTEREST FORCE; DISCOUNTED AGGREGATE CLAIMS; HEAVY-TAILED CLAIMS; COMPOUND POISSON MODEL; RISK MODEL; SUBEXPONENTIAL CLAIMS; BEHAVIOR;

D O I：

10.1016/j.insmatheco.2015.04.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies a bidimensional renewal risk model with constant force of interest and subexponentially distributed claim size vector. Some uniform asymptotic estimates for finite-time ruin probabilities are established when the claim size vector and its inter-arrival time are subject to certain general dependence structure. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：45 / 53

页数：9

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