Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6418417 | Journal of Mathematical Analysis and Applications | 2014 | 21 Pages |
Abstract
In the paper, we study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Qingwu Gao, Xiuzhu Yang,