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