Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

This paper gives an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure. This new dependence structure allows the underlying random va...

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Bibliographic Details
Published inMethodology and computing in applied probability Vol. 15; no. 1; pp. 109 - 124
Main Authors Wang, Kaiyong, Wang, Yuebao, Gao, Qingwu
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.03.2013
Springer Nature B.V
Subjects
Asymptotic methods
Asymptotic properties
Business and Management
Economic models
Economics
Electrical Engineering
Equivalence
Interest rates
Intervals
Life Sciences
Mathematical analysis
Mathematical models
Mathematics and Statistics
Probability
Random variables
Risk
Statistics
Studies
Uniform asymptotics
Widely orthant dependent
Finite-time ruin probability
62E10
62P05
60F05
Constant interest rate
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Summary:This paper gives an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure. This new dependence structure allows the underlying random variables to be either positively or negatively dependent. The obtained asymptotics hold uniformly in a finite time interval. Especially, in the renewal risk model the uniform asymptotics of the finite-time ruin probability for all times have been given. The obtained results have extended and improved some corresponding results.
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ISSN:1387-5841
1573-7713
DOI:10.1007/s11009-011-9226-y