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http://dx.doi.org/10.4134/BKMS.2013.50.2.611

UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE  

Gao, Qingwu (School of Mathematics and Statistics Nanjing Audit University)
Yang, Yang (School of Mathematics and Statistics Nanjing Audit University)
Publication Information
Bulletin of the Korean Mathematical Society / v.50, no.2, 2013 , pp. 611-626 More about this Journal
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 stochastic 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.
Keywords
uniform; asymptotics; finite-time; ruin; probability; pairwise; quasiasymptotic; independence; consistent; variation;
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