Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest

作者：Gao Qingwu^*; Yang Xiuzhu

来源：Journal of Mathematical Analysis and Applications, 2014, 419(2): 1193-1213.

DOI：10.1016/j.jmaa.2014.05.069

• Uniform asymptotics
• Finite-time ruin probability
• Diffusion
• Asymptotic independence
• Counting process
• Widely lower orthant dependence

In the paper, we study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed.

• 出版日期2014-11-15
• 单位南京审计大学