Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims
Joint Authors
Ma, Xin
Yang, Yang
Lin, Jin-guan
Source
Mathematical Problems in Engineering
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-07-14
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
We propose a general continuous-time risk model with a constant interest rate.
In this model, claims arrive according to an arbitrary counting process, while their sizes have dominantly varying tails and fulfill an extended negative dependence structure.
We obtain an asymptotic formula for the finite-time ruin probability, which extends a corresponding result of Wang (2008).
American Psychological Association (APA)
Yang, Yang& Ma, Xin& Lin, Jin-guan. 2011. Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims. Mathematical Problems in Engineering،Vol. 2011, no. 2011, pp.1-14.
https://search.emarefa.net/detail/BIM-503452
Modern Language Association (MLA)
Yang, Yang…[et al.]. Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims. Mathematical Problems in Engineering No. 2011 (2011), pp.1-14.
https://search.emarefa.net/detail/BIM-503452
American Medical Association (AMA)
Yang, Yang& Ma, Xin& Lin, Jin-guan. Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims. Mathematical Problems in Engineering. 2011. Vol. 2011, no. 2011, pp.1-14.
https://search.emarefa.net/detail/BIM-503452
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-503452
