Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

被引：43

作者：

Yang, Haizhong ^{[1
]}

Li, Jinzhu ^{[2
,3
]}

机构：

[1] Northwestern Polytech Univ, Econ Res Ctr, Xian 710072, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[3] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2014年 / 58卷

基金：

高等学校博士学科点专项科研基金; 中国国家自然科学基金;

关键词：

Asymptotics; Bidimensional renewal risk model; Farlie-Gumbel-Morgenstern distribution; Ruin probability; Subexponentiality;

D O I：

10.1016/j.insmatheco.2014.07.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim,size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie-Gumbel-Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：185 / 192

页数：8

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