Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model

被引：0

作者：

Yang, Yang ^{[1
]}

Tan, ZhongQuan ^{[2
]}

Zhong, YunYun ^{[3
]}

机构：

[1] Southeast Univ, Nanjing Audit Univ, Sch Math & Stat, Sch Econ & Management, Nanjing 211815, Jiangsu, Peoples R China

[2] Jiaxing Univ, Coll Math Phys & Informat Engn, Jiaxing 314001, Peoples R China

[3] Nanjing Audit Univ, Sch Math & Stat, Nanjing 211815, Jiangsu, Peoples R China

来源：

STATISTICS AND ITS INTERFACE | 2015年 / 8卷 / 01期

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

Compound renewal risk model; Uniform asymptotics; Finite-time and infinite-time ruin; probabilities; Heavy tail; Dependence; DEPENDENT RANDOM-VARIABLES; INDEPENDENT RANDOM-VARIABLES; PRECISE LARGE DEVIATIONS; CONSISTENT VARIATION; NEGATIVE DEPENDENCE; RANDOM SUMS; TAILS;

D O I：

10.4310/SII.2015.v8.n1.a1

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

In this paper, we consider a nonstandard compound renewal risk model with or without a constant interest rate, in which claims at each accident moment are aggregated from a number of widely orthant dependent individual claims, and inter-arrival times are widely lower orthant dependent. We establish some asymptotic formulae for the finite-time and infinite-time ruin probabilities, when the individual claims are heavy-tailed. The obtained asymptotics hold uniformly on a finite or infinite time interval.

引用

页码：3 / 8

页数：6

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