대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제50권2호
  • /
  • Pages.611-626
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  • 2013
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  • 1015-8634(pISSN)
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  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
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UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE

  • Gao, Qingwu (School of Mathematics and Statistics Nanjing Audit University) ;
  • Yang, Yang (School of Mathematics and Statistics Nanjing Audit University)
  • 투고 : 2011.12.04
  • 발행 : 2013.03.31
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초록

In the paper we study the finite-time ruin probability in a general risk model with constant interest force, in which the claim sizes are pairwise quasi-asymptotically independent and arrive according to an arbitrary counting process, and the premium process is a general stochastic process. For the case that the claim-size distribution belongs to the consistent variation class, we obtain an asymptotic formula for the finite-time ruin probability, which holds uniformly for all time horizons varying in a relevant infinite interval. The obtained result also includes an asymptotic formula for the infinite-time ruin probability.

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참고문헌

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피인용 문헌

  1. Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest vol.419, pp.2, 2014, https://doi.org/10.1016/j.jmaa.2014.05.069
  2. Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims vol.12, pp.1, 2015, https://doi.org/10.3934/jimo.2016.12.31
  3. THE ULTIMATE RUIN PROBABILITY OF A DEPENDENT DELAYED-CLAIM RISK MODEL PERTURBED BY DIFFUSION WITH CONSTANT FORCE OF INTEREST vol.52, pp.3, 2015, https://doi.org/10.4134/BKMS.2015.52.3.895