Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

Qingwu Gao and Xijun Liu

Statistics & Probability Letters, 2013, vol. 83, issue 6, 1527-1538

Abstract: This paper investigates the finite-time ruin probability in a risk model with constant force of interest, upper tail asymptotically independent claims, and a general claim arrival process. We obtain a uniformly asymptotic formula for times in a finite interval. In particular, with a certain dependence among the inter-arrival times, the formula holds uniformly for all times.

Keywords: Uniform asymptotics; Finite-time ruin probability; Upper tail asymptotic independence; Counting process; Widely lower orthant dependence (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.02.018

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