Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

Kaiyong Wang, Yuebao Wang () and Qingwu Gao
Additional contact information
Kaiyong Wang: Soochow University
Yuebao Wang: Soochow University
Qingwu Gao: Soochow University

Methodology and Computing in Applied Probability, 2013, vol. 15, issue 1, 109-124

Abstract: Abstract This paper gives an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure. This new dependence structure allows the underlying random variables to be either positively or negatively dependent. The obtained asymptotics hold uniformly in a finite time interval. Especially, in the renewal risk model the uniform asymptotics of the finite-time ruin probability for all times have been given. The obtained results have extended and improved some corresponding results.

Keywords: Uniform asymptotics; Finite-time ruin probability; Constant interest rate; Widely orthant dependent; 62P05; 62E10; 60F05 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-011-9226-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9226-y

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-011-9226-y

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().