Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims  

作　　者：LIU Zai-ming GENG Bing-zhen WANG Shi-jie 

机构地区：[1]School of Mathematics and Statistics,Central South University,Changsha 410083,China [2]School of Big Data and Statistics,Anhui University,Hefei 230601,China

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2024年第1期98-113,共16页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the Natural Science Foundation of China(12071487,11671404);the Natural Science Foundation of Anhui Province(2208085MA06);the Provincial Natural Science Research Project of Anhui Colleges(KJ2021A0049,KJ2021A0060);Hunan Provincial Innovation Foundation for Postgraduate(CX20200146)。

摘　　要：Consider a nonstandard continuous-time bidimensional risk model with constant force of interest,in which the two classes of claims with subexponential distributions satisfy a general dependence structure and each pair of the claim-inter-arrival times is arbitrarily dependent.Under some mild conditions,we achieve a locally uniform approximation of the finite-time ruin probability for all time horizon within a finite interval.If we further assume that each pair of the claim-inter-arrival times is negative quadrant dependent and the two classes of claims are consistently-varying-tailed,it shows that the above obtained approximation is also globally uniform for all time horizon within an infinite interval.

关 键 词：bidimensional risk model asymptotic formula subexponential distribution consistently varying tail ruin probability 

分 类 号：O212.1[理学—概率论与数理统计]