Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

被引：25
|
作者：
Jiang, Tao [1 ]
Wang, Yuebao [2 ]
Chen, Yang [2 ,3 ]
Xu, Hui [2 ]
机构：
[1] Zhejiang Gongshang Univ, Sch Math & Stat, Hangzhou 310018, Peoples R China
[2] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
[3] Suzhou Univ Sci & Technol, Sch Math & Phys, Suzhou 215009, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2015年 / 64卷
基金：
美国国家科学基金会;
关键词：
Subexponential distribution; Time dependence; Bidimensional renewal model; Finite-time ruin probabilities; Uniform asymptotic estimate; CONSTANT INTEREST FORCE; DISCOUNTED AGGREGATE CLAIMS; HEAVY-TAILED CLAIMS; COMPOUND POISSON MODEL; RISK MODEL; SUBEXPONENTIAL CLAIMS; BEHAVIOR;
D O I：
10.1016/j.insmatheco.2015.04.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies a bidimensional renewal risk model with constant force of interest and subexponentially distributed claim size vector. Some uniform asymptotic estimates for finite-time ruin probabilities are established when the claim size vector and its inter-arrival time are subject to certain general dependence structure. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：45 / 53
页数：9
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