Article ID Journal Published Year Pages File Type
1154814 Statistics & Probability Letters 2012 6 Pages PDF
Abstract

For a dependent risk model with constant interest rate, in which the claim sizes form a sequence of upper tail asymptotically independent and identically distributed random variables, and their inter-arrival times are another sequence of widely lower orthant dependent and identically distributed random variables, we will give an asymptotically equivalent formula for the finite-time ruin probability. The obtained asymptotics holds uniformly in an arbitrarily finite-time interval.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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