Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:383

Article

Yang, Yang^1,2,3  Leipus, Remigijus^1,4  Siaulys, Jonas¹  Cang, Yuquan² 

[1] Vilnius State Univ, Fac Math & Informat, LT-03225 Vilnius, Lithuania

[2] Nanjing Audit Univ, Sch Math & Stat, Nanjing 210029, Peoples R China

[3] Southeast Univ, Dept Math, Nanjing 210096, Peoples R China

[4] Vilnius State Univ, Inst Math & Informat, LT-08663 Vilnius, Lithuania

关键词: Asymptotics;    Finite-time ruin probability;    Strongly subexponential distribution;    Negative dependence;    Uniformity;   

DOI  :  10.1016/j.jmaa.2011.05.013

来源: Elsevier

【 摘 要 】

This paper investigates the finite-time ruin probability in the dependent renewal risk model, where the claim sizes are independent and identically distributed random variables with strongly subexponential tails, and the interarrival times are negatively dependent. We establish an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

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