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UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE
- Source :
- Bulletin of the Korean Mathematical Society. 50:611-626
- Publication Year :
- 2013
- Publisher :
- The Korean Mathematical Society, 2013.
-
Abstract
- In the paper we study the finite-time ruin probability in a general risk model with constant interest force, in which the claim sizes are pairwise quasi-asymptotically independent and arrive according to an arbitrary counting process, and the premium process is a general sto- chastic process. For the case that the claim-size distribution belongs to the consistent variation class, we obtain an asymptotic formula for the finite-time ruin probability, which holds uniformly for all time horizons varying in a relevant infinite interval. The obtained result also includes an asymptotic formula for the infinite-time ruin probability.
Details
- ISSN :
- 10158634
- Volume :
- 50
- Database :
- OpenAIRE
- Journal :
- Bulletin of the Korean Mathematical Society
- Accession number :
- edsair.doi...........41d48aa2fbb15f0058bc86ddb5e8c4a5