Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims

被引：16

作者：

Lu, Dawei ^{[1
]}

Zhang, Bin ^{[1
]}

机构：

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

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 114卷

关键词：

Large deviation; Strongly subexponential class; Generalized risk model; Renewal counting process; TIME; BEHAVIOR;

D O I：

10.1016/j.spl.2016.03.005

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：

In this paper, a two-dimensional renewal risk model of insurance business with some strongly subexponential claim sizes is considered. Three types of the finite-time ruin probabilities under this model are discussed. We obtain the asymptotic upper and lower bounds for one type, and the asymptotic formulas for the others, which hold uniformly in a corresponding region, respectively. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：20 / 29

页数：10

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