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

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外文摘要：This paper considers the one-and two-dimensional risk models with a non-stationary claim-number process.Under the assump-tion 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 one-dimensional 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.

外文关键词：

one-dimensional risk modeltwo-dimensional risk modellarge deviations principlefinite-time ruin probabilityheavy-tailed distributions

作者：

XU Chenghao、WANG Kaiyong、PENG Jiangyan

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作者单位：

School of Mathematical Sciences,Suzhou University of Science and Technology,Suzhou 215009,Jiangsu,China

School of Mathematical Sciences,University of Electronic Science and Technology of China,Chengdu 611731,Sichuan,China

基金：

333 High Level Talent Training Project of Jiangsu ProvinceNational Natural Science Foundation of ChinaScience and Technology Projects of Sichuan Province

项目编号：

718710462021YFQ0007

出版年：

2024

DOI：

10.1051/wujns/2024291021

武汉大学自然科学学报(英文版)

武汉大学

武汉大学自然科学学报(英文版)

CSTPCD

影响因子：0.066

ISSN：1007-1202

年,卷(期)：2024.29(1)

参考文献量29