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| 引用本文： | ?????\??Ч??.?????β?????μ??????????????????[J].应用概率统计,2018,34(1):21-36. |
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| 作者姓名： | ?????\??Ч?? |
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| 作者单位： | ??????????????, ???, 362021\??????????????, ??????????, 07030 |
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| 摘 要： |
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| 关 键 词： | ???????仯 k-out-of-n????? ??????β???? |
Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims |
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| WU JinTang\LI XiaoHu.Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims[J].Chinese Journal of Applied Probability and Statisties,2018,34(1):21-36. |
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| Authors: | WU JinTang\LI XiaoHu |
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| Institution: | School of Mathematical Sciences, Huaqiao University, Quanzhou, 362021, China\Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA |
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| Abstract: | This note deals with an insurance company with multiple lines of business. In the context of heavy-tailed heterogeneous claim amounts with the 1st upper-orthant tail dependence, based on the so-called k-out-of-n ruin set, we can exhibit the Radon measure mu and derive the asymptotic ruin probability for some of all lines business to ruin in a finite time. One numerical example is also presented to illustrate our main results. |
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| Keywords: | multivariate regular variation k-out-of-n ruin set upper-orthant tail dependence |
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