Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims

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• 作者：Ke-ang Fu ; Yu-yang Qiu ; An-ding Wang
• 关键词：62P05 ; 62E20 ; 60F10 ; by ; claim ; dominatedly varying tail ; extended upper negative dependence ; quasi ; asymptotic independence ; ruin probability ; time ; dependent risk model
• 刊名：Applied Mathematics - A Journal of Chinese Universities
• 出版年：2015
• 出版时间：September 2015
• 年：2015
• 卷：30
• 期：3
• 页码：347-360
• 全文大小：211 KB
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• 作者单位：Ke-ang Fu (1)
  Yu-yang Qiu (1)
  An-ding Wang (1)
  
  1. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, 310018, China
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Mathematics
  Applications of Mathematics
  Chinese Library of Science
  
• 出版者：Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
• ISSN：1993-0445

文摘

Consider a continuous-time renewal risk model, in which every main claim induces a delayed by-claim. Assume that the main claim sizes and the inter-arrival times form a sequence of identically distributed random pairs, with each pair obeying a dependence structure, and so do the by-claim sizes and the delay times. Supposing that the main claim sizes with by-claim sizes form a sequence of dependent random variables with dominatedly varying tails, asymptotic estimates for the ruin probability of the surplus process are investigated, by establishing a weakly asymptotic formula, as the initial surplus tends to infinity. Keywords by-claim dominatedly varying tail extended upper negative dependence quasi-asymptotic independence ruin probability time-dependent risk model