Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims. (20th September 2012)

• Record Type: Journal Article
• Authors: Gao, Qingwu
• Other Names: Chernov N. Academic Editor.; Fagnola F. Academic Editor.; Jorgensen P. E. Academic Editor.
• Is Part Of: ISRN probability and statistics. Volume 2012(2012)
• Publication Date: 2012-09-20
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Electronic journals; Periodicals; 519
• DOI: 10.5402/2012/186348
• Languages: English
• ISSNs: 2090-4711

Abstract

Abstract : We consider a generalized time-dependent risk model with constant interest force, where the claim sizes are of pairwise quasiasymptotical independence structure, and the claim size and its interclaim time satisfy a dependence structure defined by a conditional tail probability of the claim size given the interclaim time before the claim occurs. As the claim-size distribution belongs to the dominated variation class, we establish some weakly asymptotic formulae for the tail probability of discounted aggregate claims and the finite-time ruin probability, which hold uniformly for all times in a relevant infinite interval.