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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Veröffentlicht in:	Methodology and computing in applied probability Jg. 15; H. 1; S. 109 - 124
Hauptverfasser:	Wang, Kaiyong, Wang, Yuebao, Gao, Qingwu
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Boston Springer US 01.03.2013 Springer Nature B.V
Schlagworte:	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
ISSN:	1387-5841, 1573-7713
Online-Zugang:	Volltext
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