Approximation for the ruin probabilities in a discrete time risk model with dependent risks

作者：Wang Yinfeng; Yin Chuancun^*

来源：Statistics & Probability Letters, 2010, 80(17-18): 1335-1342.

DOI：10.1016/j.spl.2010.04.014

• Asymptotics
• Nonconstant interest rates
• Ruin probability
• Dependent risks
• Discrete time risk model

This paper studies some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with nonconstant interest rates, under the assumptions that the individual net losses are bivariate upper-tail independent, identically distributed random variables having a common distribution in the class D boolean AND L. Additionally, it also establishes two-side bounds for ultimate ruin probability.

• 出版日期2010-9-1
• 单位曲阜师范大学