On an asymptotic rule A +B/u for ultimate ruin probabilities under dependence by mixing
نویسندگان
چکیده
The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a wide class of dependent risk processes, in continuous or discrete time. That dependence is incorporated through a mixing model in the individual claim amount distributions. Several special mixing distributions are examined in detail and some close-form formulas are derived. Claim tail distributions and the dependence structure are also investigated.
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