Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Dependent Heavy-tailed Claims  

作　　者：Jin-zhu Li Rong Wu 

机构地区：[1]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China

出　　处：《Acta Mathematicae Applicatae Sinica》2011年第2期329-338,共10页应用数学学报（英文版）

基　　金：Supported by the National Basic Research Program of China(973 Program)(No.2007CB814905)

摘　　要：In this paper, we investigate the asymptotic behavior for the finite- and infinite-time ruin probabilities of a nonstandard renewal model in which the claims are identically distributed but not necessarily inde- pendent. Under the assumptions that the identical distribution of the claims belongs to the class of extended regular variation （ERV） and that the tails of joint distributions of every two claims are negligible compared to the tails of their margins, we obtain the precise approximations for the finite- and infinite-time ruin probabilities.In this paper, we investigate the asymptotic behavior for the finite- and infinite-time ruin probabilities of a nonstandard renewal model in which the claims are identically distributed but not necessarily inde- pendent. Under the assumptions that the identical distribution of the claims belongs to the class of extended regular variation （ERV） and that the tails of joint distributions of every two claims are negligible compared to the tails of their margins, we obtain the precise approximations for the finite- and infinite-time ruin probabilities.

关 键 词：asymptotic behavior extended regular variation negligible joint tails ruin probability 

分 类 号：O211.67[理学—概率论与数理统计] TU723.1[理学—数学]