A note on a dependent risk model with constant interest rate

作者：Liu, Xijun; Gao, Qingwu; Wang, Yuebao^*

来源：Statistics & Probability Letters, 2012, 82(4): 707-712.

DOI：10.1016/j.spl.2011.12.016

• Uniform asymptotics
• Finite-time ruin probability
• Constant interest rate
• Upper tail asymptotic independence
• Widely lower orthant dependence

For a dependent risk model with constant interest rate, in which the claim sizes form a sequence of upper tail asymptotically independent and identically distributed random variables, and their inter-arrival times are another sequence of widely lower orthant dependent and identically distributed random variables, we will give an asymptotically equivalent formula for the finite-time ruin probability. The obtained asymptotics holds uniformly in an arbitrarily finite-time interval.

• 出版日期2012-4
• 单位苏州大学; 南京审计大学