Title of article :
Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
Author/Authors :
Gao، نويسنده , , Qingwu and Yang، نويسنده , , Xiuzhu، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2014
Abstract :
In the paper, we study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed.
Keywords :
Asymptotic independence , Widely lower orthant dependence , Counting process , diffusion , Finite-time ruin probability , Uniform asymptotics
Journal title :
Journal of Mathematical Analysis and Applications
Journal title :
Journal of Mathematical Analysis and Applications