Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes  

作　　者：XU Chenghao WANG Kaiyong PENG Jiangyan 

机构地区：[1]School of Mathematical Sciences,Suzhou University of Science and Technology,Suzhou 215009,Jiangsu,China [2]School of Mathematical Sciences,University of Electronic Science and Technology of China,Chengdu 611731,Sichuan,China

出　　处：《Wuhan University Journal of Natural Sciences》2024年第1期21-28,共8页武汉大学学报（自然科学英文版）

基　　金：Supported by the 333 High Level Talent Training Project of Jiangsu Province;the National Natural Science Foundation of China(71871046);Science and Technology Projects of Sichuan Province(2021YFQ0007)。

摘　　要：This paper considers the one-and two-dimensional risk models with a non-stationary claim-number process.Under the assumption that the claim-number process satisfies the large deviations principle,the uniform asymptotics for the finite-time ruin probability of a one-dimensional risk model are obtained for the strongly subexponential claim sizes.Further,as an application of the result of onedimensional risk model,we derive the uniform asymptotics for a kind of finite-time ruin probability in a two dimensional risk model sharing a common claim-number process which satisfies the large deviations principle.

关 键 词：one-dimensional risk model two-dimensional risk model large deviations principle finite-time ruin probability heavy-tailed distributions 

分 类 号：O211[理学—概率论与数理统计]