Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Finite-time Ruin Probability of the Compound Poisson Model with Constant Interest Force

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regu...

متن کامل

Two - sided Bounds for Ruin Probability under Constant Interest Force

In this paper we investigate the ruin probability in the classical risk model under a positive constant interest force. We restrict ourselves to the case where the claim size is heavy-tailed, i.e. the equilibrium distribution function (e.d.f.) of the claim size belongs to a wide subclass (denoted A) of subexponential distributions. Two-sided estimates for the ruin probability are developed by r...

متن کامل

Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation

We investigate the ruin probability of the renewal model. In this model the claims, Xn; n]1; form a sequence of independent, identically distributed (i.i.d.), and nonnegative random variables with common distribution function F, and the interarrival times, Yn; n]1; form another sequence of i.i.d. nonnegative random variables, which are independent of the random variables Xn; n]1; and are not de...

متن کامل

Ruin Probability with Constant Interest Force and Negatively Dependent Insurance Risks

In this paper, under the assumption that the claimsize is Negatively dependent subexponentially distributed and the constant interest force is considered, a simple asymptotics of ruin probability for renewal risk model within finite horizon is obtained. The results obtained extended the corresponding results of related papers.

متن کامل

Asymptotic Behavior of Ruin Probability in Insurance Risk Model with Large Claims

For the renewal risk model with subexponential claim sizes, we established for the finite time ruin probability a lower asymptotic estimate as initial surplus increases, subject to the demand that it should hold uniformly over all time horizons in an infinite interval. In the case of Poisson model, we also obtained the upper asymptotic formula so that an equivalent formula was derived. These ex...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Rocky Mountain Journal of Mathematics

سال: 2014

ISSN: 0035-7596

DOI: 10.1216/rmj-2014-44-5-1505