Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications |
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Authors: | Y Yang Y Wang R Leipus J ?iaulys |
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Institution: | 1.School of Mathematics and Statistics,Nanjing Audit University,Nanjing,PR China;2.Department of Mathematics,Soochow University,Suzhou,PR China;3.Vilnius University,Vilnius,Lithuania;4.Institute of Mathematics and Informatics,Vilnius,Lithuania |
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Abstract: | In this paper, we obtain the asymptotics for the tail probability of the total claim amount with negatively dependent claim
sizes in two cases: in the first case, the distribution tail of the claim number is dominatedly varying; in the second case,
the distribution of the claim number is in the maximum domain of attraction of the Gumbel distribution, and the claim sizes
are light-tailed. In both cases, we assume that the claim sizes are nondegenerate negatively dependent and identically distributed
random variables and that the claim number is not necessarily independent of the claim sizes. As applications, we derive asymptotics
for the finite-time ruin probabilities in some dependent compound renewal risk models with constant interest rate. |
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