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

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.

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Year of publication:	2013
Authors:	Gao, Qingwu ; Liu, Xijun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 6, p. 1527-1538
Publisher:	Elsevier
Subject:	Uniform asymptotics \| Finite-time ruin probability \| Upper tail asymptotic independence \| Counting process \| Widely lower orthant dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010664067