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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)
  • Received : 2011.12.04
  • Published : 2013.03.31

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

References

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