Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims
Author
Source
ISRN Probability and Statistics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-24, 24 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-09-20
Country of Publication
Egypt
No. of Pages
24
Main Subjects
Abstract EN
We consider a generalized time-dependent risk model with constant interest force, where the claim sizes are of pairwise quasiasymptotical independence structure, and the claim size and its interclaim time satisfy a dependence structure defined by a conditional tail probability of the claim size given the interclaim time before the claim occurs.
As the claim-size distribution belongs to the dominated variation class, we establish some weakly asymptotic formulae for the tail probability of discounted aggregate claims and the finite-time ruin probability, which hold uniformly for all times in a relevant infinite interval.
American Psychological Association (APA)
Gao, Qingwu. 2012. Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims. ISRN Probability and Statistics،Vol. 2012, no. 2012, pp.1-24.
https://search.emarefa.net/detail/BIM-452873
Modern Language Association (MLA)
Gao, Qingwu. Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims. ISRN Probability and Statistics No. 2012 (2012), pp.1-24.
https://search.emarefa.net/detail/BIM-452873
American Medical Association (AMA)
Gao, Qingwu. Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims. ISRN Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-24.
https://search.emarefa.net/detail/BIM-452873
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-452873