Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

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• 作者：Tao Jiang^a ; Yuebao Wang^b ; ^{ybwang@suda.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Yang Chen^b ; ^c ; Hui Xu^b
• 关键词：primary ; 62H05 ; 62E20 ; 62P05
• 刊名：Insurance: Mathematics and Economics
• 出版年：2015
• 出版时间：September 2015
• 年：2015
• 卷：64
• 期：Complete
• 页码：45-53
• 全文大小：454 K

文摘

This paper studies a bidimensional renewal risk model with constant force of interest and subexponentially distributed claim size vector. Some uniform asymptotic estimates for finite-time ruin probabilities are established when the claim size vector and its inter-arrival time are subject to certain general dependence structure.