二维贴现累积索赔过程的一致局部渐近估计

The uniform local asymptotics of the bidimensional discounted aggregate claim process

本文考虑一个带常利率的二维风险模型,其中索赔额向量具有局部次指数的边际分布,它们和相应的到达时间间隔服从一个新的局部时间相依结构.进而,本文给出一些服从该结构的联合分布的类型.在这个相依风险模型中,本文得到了二维贴现累积索赔过程及总净损失过程的一致局部渐近估计.

In this paper,we consider a bidimensional risk model with constant interest force,in which the claim size vector with the local subexponential marginal distributions and its inter-arrival time are subject to a local time-dependence structure.Moreover,we give some types of concrete joint distributions following the structure.Then we obtain the uniform local asymptotic expression of the discounted aggregate claim process and the total net loss process in the model.