FINITE-TIME RUIN PROBABILITY WITH NQD DOMINATED VARYING-TAILED CLAIMS AND NLOD INTER-ARRIVAL TIMES  

作　　者：Jingzhi LI Kaiyong WANG Yuebao WANG 

机构地区：[1]Department of Mathematics, Soochow University, Suzhou 215006, China. [2]Department of Mathematics, Soochow University, Suzhou 215006, China Department of Information and Com-putational Science, School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou215009, China.

出　　处：《Journal of Systems Science & Complexity》2009年第3期407-414,共8页系统科学与复杂性学报（英文版）

基　　金：supported by the National Science Foundation of China under Grant No. 10671139.

摘　　要：In 2007,Chen and Ng investigated infinite-time ruin probability with constant interest forceand negatively quadrant dependent and extended regularly varying-tailed claims.Following this work,the authors obtain a weakly asymptotic equivalent formula for the finite-time and infinite-time ruinprobability with constant interest force,negatively quadrant dependent,and dominated varying-tailedclaims and negatively lower orthant dependent inter-arrival times.In particular,when the claims areconsistently varying-tailed,an asymptotic equivalent formula is presented.

关 键 词：Heavy tail negatively lower orthant dependent negatively quadrant dependent renewalmodel ruin probability. 

分 类 号：O211.4[理学—概率论与数理统计] TN929.53[理学—数学]