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Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

Author

Listed:
  • Kaiyong Wang

    (Soochow University
    Suzhou University of Science and Technology)

  • Yuebao Wang

    (Soochow University)

  • Qingwu Gao

    (Soochow University
    Nanjing Audit University)

Abstract

This paper gives an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure. This new dependence structure allows the underlying random variables to be either positively or negatively dependent. The obtained asymptotics hold uniformly in a finite time interval. Especially, in the renewal risk model the uniform asymptotics of the finite-time ruin probability for all times have been given. The obtained results have extended and improved some corresponding results.

Suggested Citation

  • Kaiyong Wang & Yuebao Wang & Qingwu Gao, 2013. "Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 109-124, March.
    • Handle: RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9226-y
    DOI: 10.1007/s11009-011-9226-y
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    References listed on IDEAS

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