UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE

- Journal title : Bulletin of the Korean Mathematical Society
- Volume 50, Issue 2, 2013, pp.611-626
- Publisher : The Korean Mathematical Society
- DOI : 10.4134/BKMS.2013.50.2.611

Title & Authors

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; Yang, Yang;

Gao, Qingwu; Yang, Yang;

Abstract

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.

Keywords

uniform;asymptotics;finite-time;ruin;probability;pairwise;quasiasymptotic;independence;consistent;variation;

Language

English

Cited by

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2.

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