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Uniform estimates for the finite-time ruin probability in the dependent renewal risk model |
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| Authors: | Yang Yang Remigijus Leipus Jonas Šiaulys Yuquan Cang |
| Institution: | a School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029, China b Department of Mathematics, Southeast University, Nanjing 210096, China c Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania d Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, Vilnius LT-08663, Lithuania |
| Abstract: | This paper investigates the finite-time ruin probability in the dependent renewal risk model, where the claim sizes are independent and identically distributed random variables with strongly subexponential tails, and the interarrival times are negatively dependent. We establish an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line. |
| Keywords: | Asymptotics Finite-time ruin probability Strongly subexponential distribution Negative dependence Uniformity |
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