کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1151829 958255 2013 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
چکیده انگلیسی

This paper investigates the finite-time ruin probability in a risk model with constant force of interest, upper tail asymptotically independent claims, and a general claim arrival process. We obtain a uniformly asymptotic formula for times in a finite interval. In particular, with a certain dependence among the inter-arrival times, the formula holds uniformly for all times.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 83, Issue 6, June 2013, Pages 1527–1538
نویسندگان
, ,