Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times |
| |
| Authors: | Jingzhi Li Kaiyong Wang Yuebao Wang |
| |
| Institution: | (1) Department of Mathematics, Soochow University, Suzhou, 215006, China;(2) Department of Information and Computational Science, School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, China |
| |
| Abstract: | In 2007, Chen and Ng investigated infinite-time ruin probability with constant interest force and negatively quadrant dependent
and extended regularly varying-tailed claims. Following this work, the authors obtain a weakly asymptotic equivalent formula
for the finite-time and infinite-time ruin probability with constant interest force, negatively quadrant dependent, and dominated
varying-tailed claims and negatively lower orthant dependent inter-arrival times. In particular, when the claims are consistently
varying-tailed, an asymptotic equivalent formula is presented.
This research is supported by the National Science Foundation of China under Grant No. 10671139. |
| |
| Keywords: | Heavy tail negatively lower orthant dependent negatively quadrant dependent renewal model ruin probability |
| 本文献已被 SpringerLink 等数据库收录！ |
|
