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

共 50 条

[31] Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims [J].

Wang, Bingjie ;

Yan, Jigao ;

Cheng, Dongya .

JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS, 2022, 39 (01) :177-194

[32] Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims [J].

Bingjie Wang ;

Jigao Yan ;

Dongya Cheng .

Japan Journal of Industrial and Applied Mathematics, 2022, 39 :177-194

[33] Uniform asymptotics of the finite-time ruin probability for all times [J].

Wang, Yuebao ;

Cui, Zhaolei ;

Wang, Kaiyong ;

Ma, Xiuli .

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2012, 390 (01) :208-223

[34] Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks [J].

Yang, Yang .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2014, 43 (10-12) :2094-2104

[35] The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks [J].

Wang, Shi-jie ;

Zhang, Chuan-wei ;

Wang, Xue-jun ;

Wang, Wen-sheng .

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 34 (03) :553-565

[36] Uniform Asymptotics for Finite-time Ruin Probability in a Dependent Risk Model with General Stochastic Investment Return Process [J].

Yang, Yang ;

Yuen, Kam Chuen ;

Liu, Jun-feng .

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2021, 37 (04) :847-857

[37] Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate [J].

Xiao, Hongmin ;

Xie, Lin .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (22) :5396-5417

[38] Finite-time Ruin Probabilities for the Two-dimensional Compound Binomial Model in Markovian Environment [J].

Yu, Yibin ;

Zhang, Lixin ;

Zhang, Yi .

2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE), 2010, :905-909

[39] Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest [J].

Zong, Gaofeng .

FRONTIERS OF MATHEMATICS IN CHINA, 2010, 5 (04) :801-809

[40] Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks [J].

Yang, Haizhong ;

Gao, Wei ;

Li, Jinzhu .

SCANDINAVIAN ACTUARIAL JOURNAL, 2016, (01) :1-17

← 1 2 3 4 5 →