Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest |
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Authors: | Qingwu Gao Xiuzhu Yang |
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Affiliation: | School of Science, Nanjing Audit University, Nanjing 211815, China |
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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. |
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Keywords: | Uniform asymptotics Finite-time ruin probability Diffusion Asymptotic independence Counting process Widely lower orthant dependence |
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