Article ID Journal Published Year Pages File Type
1151829 Statistics & Probability Letters 2013 12 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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