Asymptotic ruin probabilities of the renewalmodel with constant interest force and dependent heavy-tailed claims

被引：6

作者：

Li, Jin-zhu ^{[1
]}

Wu, Rong

机构：

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

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2011年 / 27卷 / 02期

关键词：

asymptotic behavior; extended regular variation; negligible joint tails; ruin probability; MODEL;

D O I：

10.1007/s10255-011-0064-z

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we investigate the asymptotic behavior for the finite- and infinite-time ruin probabilities of a nonstandard renewal model in which the claims are identically distributed but not necessarily independent. Under the assumptions that the identical distribution of the claims belongs to the class of extended regular variation (ERV) and that the tails of joint distributions of every two claims are negligible compared to the tails of their margins, we obtain the precise approximations for the finite- and infinite-time ruin probabilities.

引用

页码：329 / 338

页数：10

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[1] Asymptotic ruin probabilities of the renewalmodel with constant interest force and dependent heavy-tailed claims
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Rong Wu
[J]. Acta Mathematicae Applicatae Sinica, English Series, 2011, 27 : 329 - 338
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[J]. Acta Mathematicae Applicatae Sinica, 2011, 27 (02) : 329 - 338
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