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Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
Institution:1. Economic Research Center, Northwestern Polytechnical University, Xi’an 710072, PR China;2. School of Mathematical Science and LPMC, Nankai University, Tianjin 300071, PR China;1. Department of Mathematics, University of Michigan, Ann Arbor, MI, 48109, USA;2. Department of Mathematics, York University, Toronto, Ontario, Canada M3J 1P3;1. University of Technology, Sydney, The Finance Discipline Group, UTS Business School, PO Box 123, Broadway, NSW, 2007, Australia;2. Auckland University of Technology, Department of Finance, Private Bag 92006, 1142 Auckland, New Zealand;3. Università degli Studi di Padova, Dipartimento di Matematica, Via Trieste 63, Padova, Italy;4. Devinci Finance Lab, Pôle Universitaire Léonard de Vinci, 92916 Paris La Défense Cedex, France;5. Quanta Finanza srl, Via Cappuccina 40, Mestre (Venezia), Italy;1. Department of Economics and Management, University of Florence, Italy;2. Department of Statistics, Sapienza University of Rome, Italy
Abstract:This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula.
Keywords:Asymptotics  Bidimensional renewal risk model  Farlie–Gumbel–Morgenstern distribution  Ruin probability  Subexponentiality
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