Absolute ruin probability;
asymptotics;
class L(gamma);
class S(gamma);
class of O-subexponential distributions;
class of rapidly-varying-tailed distributions;
dependence;
Farlie-Gumbel-Morgenstern distribution;
renewal risk model;
FINITE-TIME;
SUBEXPONENTIAL DISTRIBUTIONS;
CONVOLUTION CLOSURE;
HEAVY TAILS;
PROBABILITY;
ASYMPTOTICS;
EQUIVALENCE;
INSURANCE;
BEHAVIOR;
CLAIMS;
D O I:
10.1080/15326349.2016.1216798
中图分类号:
O21 [概率论与数理统计];
C8 [统计学];
学科分类号:
020208 ;
070103 ;
0714 ;
摘要:
Consider a renewal risk model with a constant premium and a constant force of interest rate, where the claim sizes and inter-arrival times follow certain dependence structures via some restriction on their copula function. Under the assumption that the distribution of the claim-size belongs to the intersection of the class S(gamma), gamma >= 0 and the class R-infinity, or a larger intersection class of O-subexponential distribution, class L(gamma) and R-infinity, the infinite-time absolute ruin probabilities are derived.
机构:
Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R ChinaUniv Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
Chen, Yiqing
Ng, Kai W.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R ChinaUniv Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
机构:
Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R ChinaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Cheng, Dongya
Ni, Fenglian
论文数: 0引用数: 0
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机构:
Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Huaihai Inst Technol, Dept Math, Lianyungang 222005, Peoples R ChinaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Ni, Fenglian
Pakes, Anthony G.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Western Australia, Sch Math & Stat, Crawley, WA 6009, AustraliaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Pakes, Anthony G.
Wang, Yuebao
论文数: 0引用数: 0
h-index: 0
机构:
Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R ChinaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
机构:
Univ Sheffield, Dept Probabil & Stat, Sheffield S10 2UN, S Yorkshire, EnglandUniv Sheffield, Dept Probabil & Stat, Sheffield S10 2UN, S Yorkshire, England
机构:
Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R ChinaUniv Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
Chen, Yiqing
Ng, Kai W.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R ChinaUniv Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
机构:
Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R ChinaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Cheng, Dongya
Ni, Fenglian
论文数: 0引用数: 0
h-index: 0
机构:
Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Huaihai Inst Technol, Dept Math, Lianyungang 222005, Peoples R ChinaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Ni, Fenglian
Pakes, Anthony G.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Western Australia, Sch Math & Stat, Crawley, WA 6009, AustraliaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
Pakes, Anthony G.
Wang, Yuebao
论文数: 0引用数: 0
h-index: 0
机构:
Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R ChinaSoochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
机构:
Univ Sheffield, Dept Probabil & Stat, Sheffield S10 2UN, S Yorkshire, EnglandUniv Sheffield, Dept Probabil & Stat, Sheffield S10 2UN, S Yorkshire, England