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 weakl...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.展开更多
This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of...This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails.The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities.In particular,if the claims are identically distributed and consistently-varying tailed,then an asymptotic formula is presented.展开更多
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail proba...Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).展开更多
基金supported by the National Science Foundation of China under Grant No. 10671139.
文摘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.
基金supported by the National Science Foundation of China under Grant No.11071182the fund of Nanjing University of Information Science and Technology under Grant No.Y627
文摘This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails.The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities.In particular,if the claims are identically distributed and consistently-varying tailed,then an asymptotic formula is presented.
基金supported by National Natural Science Foundation of China(Grant Nos.11171001,11271193 and 11171065)Planning Foundation of Humanities and Social Sciences of Chinese Ministry of Education(Grant Nos.11YJA910004 and 12YJCZH128)Natural Science Foundation of the Jiangsu Higher Education Institutions of China(Grant No.13KJD110004)
文摘Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).
