Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151829 | Statistics & Probability Letters | 2013 | 12 Pages |
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
Authors
Qingwu Gao, Xijun Liu,