A note on a dependent risk model with constant interest rate |
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| Authors: | Xijun LiuQingwu Gao Yuebao Wang |
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| Institution: | a Foundation Department, The First Aeronautical College of Air Force, Xinyang, 464000, Chinab School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 211815, Chinac School of Mathematics, Soochow University, Suzhou, 215006, China |
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| 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. |
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| Keywords: | 62P05 62E10 60F05 |
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