Uniform asymptotics for finite-time ruin probability of a bidimensional risk model

被引：22

作者：

Chen, Yang ^{[1
,2
]}

Yang, Yang ^{[3
]}

Jiang, Tao ^{[1
]}

机构：

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

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

[3] Nanjing Audit Univ, Dept Stat, Nanjing, Jiangsu, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2019年 / 469卷 / 02期

关键词：

Bidimensional risk model; Finite-time ruin probability; Uniform asymptotics; Upper tail asymptotical independence; Positively quadrant dependence; CONSTANT INTEREST-RATE; DISCOUNTED AGGREGATE CLAIMS; HEAVY-TAILED CLAIMS; DEPENDENT CLAIMS; RENEWAL MODEL; FORCE; BEHAVIOR;

D O I：

10.1016/j.jmaa.2018.09.025

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Consider a continuous-time bidimensional risk model with constant force of interest in which the claim sizes from the same business are heavy-tailed and upper tail asymptotically independent. We investigate two cases: one is that the two claim-number processes are arbitrarily dependent, and the other is that the two corresponding claim inter-arrival times from different lines are positively quadrant dependent. Some uniformly asymptotic formulas for finite-time ruin probability are established. (C) 2018 Elsevier Inc. All rights reserved.

引用

页码：525 / 536

页数：12

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