Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate

被引：2

作者：

Bai, Xiaodong ^{[1
]}

Song, Lixin ^{[2
]}

Wang, Yuebao ^{[3
]}

机构：

[1] Dalian Nationalities Univ, Sch Sci, Dalian, Peoples R China

[2] Dalian Univ Technol, Sch Math Sci, Dalian 116023, Peoples R China

[3] Soochow Univ, Dept Math, Suzhou, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2015年 / 44卷 / 14期

关键词：

Uniform asymptotic; Renewal risk model; Random time ruin probability; Subexponential distribution; HEAVY-TAILED CLAIMS; MODEL;

D O I：

10.1080/03610926.2013.809242

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 the probability of random time ruin in the renewal risk model with the general nonnegative and non decreasing premium process and constant interest rate. We obtain a uniform asymptotic formula for random time tau and subexponential distribution.

引用

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页码：2976 / 2983

页数：8

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