Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims |
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Authors: | Yinghua Dong Yuebao Wang |
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Affiliation: | Yinghua DONG Department of Mathematics,Soochow University,Suzhou 215006,China;College of Mathematics and Statistics, Nanjing University of Information Science and Technology,Nanjing 210044,China. Yuebao WANG Department of Mathematics,Soochow University,Suzhou 215006,China. |
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Abstract: | This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails. The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities. In particular, if the claims are identically distributed and consistently-varying tailed, then an asymptotic formula is presented. |
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