Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077549 | Insurance: Mathematics and Economics | 2007 | 9 Pages |
Abstract
Recently, Tang [Tang, Q., 2005a. Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Scand. Actuar. J. (1), 1-5] obtained a simple asymptotic formula for the ruin probability of the renewal risk model with constant interest force and regularly varying tailed claims. In this paper, we use a completely different approach to extend Tang's result to the case in which the claims are pairwise negatively dependent and extended regularly varying tailed.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yiqing Chen, Kai W. Ng,