Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims

被引：1

作者：

Yang, Yang ^{[1
,2
]}

Ma, Xin ^{[3
]}

Lin, Jin-guan ^{[2
]}

机构：

[1] Nanjing Audit Univ, Sch Math & Stat, Nanjing 210029, Peoples R China

[2] Southeast Univ, Dept Math, Nanjing 210096, Peoples R China

[3] Nanjing Audit Univ, Golden Audit Coll, Nanjing 210029, Peoples R China

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2011年 / 2011卷

基金：

中国博士后科学基金; 中国国家自然科学基金; 美国国家科学基金会;

关键词：

RANDOM-VARIABLES; INTEREST FORCE; BEHAVIOR;

D O I：

10.1155/2011/852852

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We propose a general continuous-time risk model with a constant interest rate. In this model, claims arrive according to an arbitrary counting process, while their sizes have dominantly varying tails and fulfill an extended negative dependence structure. We obtain an asymptotic formula for the finite-time ruin probability, which extends a corresponding result of Wang (2008).

引用

页数：14

共 18 条

[1]

[Anonymous], 1998, Scandinavian Actuarial Journal, DOI DOI 10.1080/03461238.1998.10413991

[2]

Asmussen S, 1998, ANN APPL PROBAB, V8, P354

[3]

Bingham N.H., 1989, REGULAR VARIATION

[4] SOME CONCEPTS OF NEGATIVE DEPENDENCE [J].

BLOCK, HW ;

SAVITS, TH ;

SHAKED, M .

ANNALS OF PROBABILITY, 1982, 10 (03) :765-772

[5] THE STRONG LAW OF LARGE NUMBERS FOR EXTENDED NEGATIVELY DEPENDENT RANDOM VARIABLES [J].

Chen, Yiqing ;

Chen, Anyue ;

Ng, Kai W. .

JOURNAL OF APPLIED PROBABILITY, 2010, 47 (04) :908-922

[6] Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation [J].

Chen, Yiqing ;

Yuen, Kam C. .

STOCHASTIC MODELS, 2009, 25 (01) :76-89

[7]

CLINE DBH, 1994, P LOND MATH SOC, V68, P594

[8]

EBRAHIMI N, 1981, COMMUN STAT A-THEOR, V10, P307

[9] A PROPERTY OF LONGTAILED DISTRIBUTIONS [J].

EMBRECHTS, P ;

OMEY, E .

JOURNAL OF APPLIED PROBABILITY, 1984, 21 (01) :80-87

[10] Ruin under interest force and subexponential claims: a simple treatment [J].

Kalashnikov, V ;

Konstantinides, D .

INSURANCE MATHEMATICS & ECONOMICS, 2000, 27 (01) :145-149

← 1 2 →