Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154814 | Statistics & Probability Letters | 2012 | 6 Pages |
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
Authors
Xijun Liu, Qingwu Gao, Yuebao Wang,