Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times

作者：Yang, Yang^*; Wang, Yuebao; Liu, Xijun

来源：Journal of Systems Science and Complexity, 2011, 24(2): 328-334.

DOI：10.1007/s11424-011-8107-3

• Modulated process
• negatively lower orthant dependent
• negatively upper orthant dependent
• ruin probability

This paper establishes some asymptotic formulas for the infinite-time ruin probabilities of two kinds of dependent risk models. One risk model considers the claim sizes as a modulated process, and the other deals with negatively upper orthant dependent claim sizes. In the two models, the inter-arrival times are both assumed to be negatively lower orthant dependent.

• 出版日期2011-4
• 单位南京审计大学; 苏州大学