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FINITE-TIME RUIN PROBABILITY WITH NQD DOMINATED VARYING-TAILED CLAIMS AND NLOD INTER-ARRIVAL TIMES 被引量：8

FINITE-TIME RUIN PROBABILITY WITH NQD DOMINATED VARYING-TAILED CLAIMS AND NLOD INTER-ARRIVAL TIMES
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摘要 In 2007,Chen and Ng investigated infinite-time ruin probability with constant interest forceand negatively quadrant dependent and extended regularly varying-tailed claims.Following this work,the authors obtain a weakly asymptotic equivalent formula for the finite-time and infinite-time ruinprobability with constant interest force,negatively quadrant dependent,and dominated varying-tailedclaims and negatively lower orthant dependent inter-arrival times.In particular,when the claims areconsistently varying-tailed,an asymptotic equivalent formula is presented.
作者 Jingzhi LI Kaiyong WANG Yuebao WANG
机构地区 Department of Mathematics Department of Mathematics Department of Information and Com-putational Science
出处 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2009年第3期407-414,共8页 系统科学与复杂性学报（英文版）
基金 supported by the National Science Foundation of China under Grant No. 10671139.
关键词 Heavy tail negatively lower orthant dependent negatively quadrant dependent renewalmodel ruin probability. 到达时间 两两NQD列 索赔 破产概率 有限 渐近公式 象限 力量
分类号 O211.4 [理学—概率论与数理统计] TN929.53 [电子电信—通信与信息系统]
  • 相关文献

参考文献11

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二级参考文献16

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共引文献2

同被引文献37

  • 1袁德美.随机变量的截尾与几个经典强大数定律的推广[J].应用概率统计,2005,21(1):61-66. 被引量：9
  • 2WANGYuebao,YANGYang.THE STRUCTURE AND PRECISE MODERATE DEVIATIONS OF RANDOM VARIABLES WITH DOMINATEDLY VARYING TAILS[J].Journal of Systems Science & Complexity,2005,18(2):224-232. 被引量：3
  • 3陈平炎.两两NQD列的强大数定律[J].数学物理学报（A辑）,2005,25(3):386-392. 被引量：22
  • 4季洁鸥,林正炎.同分布ND序列加权和的强大数律[J].浙江大学学报（理学版）,2007,34(5):499-504. 被引量：4
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  • 10Leipus R and Siaulys J. Asymptotic behaviour of the finite-time ruin probability under subexponen- tial claim sizes [J]. Insurance: Mathematics and Economics, 2007, 40:498 508.

引证文献8

二级引证文献18

Journal of Systems Science & Complexity
2009年 第3期

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