Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

被引：6
作者：
Yang, Yang [1 ,2 ]
Wang, Kaiyong [3 ,4 ]
Liu, Jie [5 ]
机构：
[1] Nanjing Audit Univ, Sch Math & Stat, Nanjing 210029, Jiangsu, Peoples R China
[2] Southeast Univ, Sch Econ & Management, Nanjing 210096, Jiangsu, Peoples R China
[3] Suzhou Univ Sci & Technol, Sch Math & Phys, Suzhou 215009, Peoples R China
[4] Southeast Univ, Dept Math, Nanjing 210096, Jiangsu, Peoples R China
[5] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2013年 / 398卷 / 01期
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
Compound renewal risk model; Finite-time and infinite-time absolute ruin probabilities; Widely orthant dependence; Maximum domain of attraction of the Gumbel distribution; Random sum; CONSTANT INTEREST FORCE; RANDOM SUMS; RANDOM-VARIABLES; TAIL BEHAVIOR; NEGATIVE DEPENDENCE; LARGE DEVIATIONS; HEAVY TAILS; SUBEXPONENTIALITY; DISTRIBUTIONS; INCREMENTS;
D O I：
10.1016/j.jmaa.2012.08.060
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider a dependent compound renewal risk model with constant premium rate and interest rate, where the individual claim sizes are widely orthant dependent and the claim number has a distribution belonging to the intersection among the maximum domain of attraction of the Gumbel distribution, the subexponential class and the rapidly-varying class. In such a dependent compound renewal (or Poisson) risk model, we obtain the asymptotics and uniform asymptotics for the finite-time and infinite-time absolute ruin probabilities. To this end, we investigate the tail behavior of the random sum with some widely orthant dependent summands and the random number in the maximum domain of attraction of the Gumbel distribution. (C) 2012 Elsevier Inc. All rights reserved.
引用
收藏
页码：352 / 361
页数：10
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