A note on a dependent risk model with constant interest rate

Xijun Liu, Qingwu Gao () and Yuebao Wang

Statistics & Probability Letters, 2012, vol. 82, issue 4, 707-712

Abstract: For a dependent risk model with constant interest rate, in which the claim sizes form a sequence of upper tail asymptotically independent and identically distributed random variables, and their inter-arrival times are another sequence of widely lower orthant dependent and identically distributed random variables, we will give an asymptotically equivalent formula for the finite-time ruin probability. The obtained asymptotics holds uniformly in an arbitrarily finite-time interval.

Keywords: Uniform asymptotics; Finite-time ruin probability; Constant interest rate; Upper tail asymptotic independence; Widely lower orthant dependence (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.spl.2011.12.016

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