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

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

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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 depen-dent.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.

bidimensional risk modelasymptotic formulasubexponential distributionconsistently varying tailruin probability

LIU Zai-ming、GENG Bing-zhen、WANG Shi-jie

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School of Mathematics and Statistics,Central South University,Changsha 410083,China

School of Big Data and Statistics,Anhui University,Hefei 230601,China

Natural Science Foundation of ChinaNatural Science Foundation of ChinaNatural Science Foundation of Anhui ProvinceProvincial Natural Science Research Project of Anhui CollegesProvincial Natural Science Research Project of Anhui CollegesHunan Provincial Innovation Foundation for Postgraduate

12071487116714042208085MA06KJ2021A0049KJ2021A0060CX20200146

2024

10.1007/s11766-024-4213-6

高校应用数学学报B辑(英文版)
浙江大学 中国工业与应用数学学会

高校应用数学学报B辑(英文版)

影响因子：0.146
ISSN：1005-1031
年,卷(期)：2024.39(1)
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