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2014 Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
Qingwu Gao, Na Jin, Houcai Shen
Rocky Mountain J. Math. 44(5): 1505-1528 (2014). DOI: 10.1216/RMJ-2014-44-5-1505

Abstract

This paper will obtain an asymptotic formula of the finite-time ruin probability in a generalized risk model with constant interest force, in which the claim sizes are pairwise quasi-asymptotically independent and their arrival process is an arbitrary counting process. In particular, when the claim inter-arrival times follow a certain dependence structure, the result obtained can also include an asymptotic formula for the infinite-time ruin probability.

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Qingwu Gao. Na Jin. Houcai Shen. "Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force." Rocky Mountain J. Math. 44 (5) 1505 - 1528, 2014. https://doi.org/10.1216/RMJ-2014-44-5-1505

Information

Published: 2014
First available in Project Euclid: 1 January 2015

zbMATH: 1309.91075
MathSciNet: MR3295640
Digital Object Identifier: 10.1216/RMJ-2014-44-5-1505

Keywords: asymptotics , Consistent variation , finite-time ruin probability , pairwise quasiasymptotic independence

Rights: Copyright © 2014 Rocky Mountain Mathematics Consortium

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Vol.44 • No. 5 • 2014
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