In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-retur...In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-returns described as a general adapted càdlàg process.Under the assumptions that the claim sizes are heavy-tailed and the stochastic log-return process on investments is bounded from below almost surely,we derive some asymptotic formulas for the finite-time ruin probability holding uniformly in any finite time horizon.展开更多
Several authors have studied the uniform estimate for the tail probabilities of randomly weighted sumsa.ud their maxima. In this paper, we generalize their work to the situation thatis a sequence of upper tail asympto...Several authors have studied the uniform estimate for the tail probabilities of randomly weighted sumsa.ud their maxima. In this paper, we generalize their work to the situation thatis a sequence of upper tail asymptotically independent random variables with common distribution from the is a sequence of nonnegative random variables, independent of and satisfying some regular conditions. Moreover. no additional assumption is required on the dependence structureof {θi,i≥ 1）.展开更多
RECENTLY, a number of papers have been published concerning the asymptotic independentproperties of V X<sub>i</sub> and sum from 1 X<sub>i</sub> of weakly dependent stationary sequence {X<su...RECENTLY, a number of papers have been published concerning the asymptotic independentproperties of V X<sub>i</sub> and sum from 1 X<sub>i</sub> of weakly dependent stationary sequence {X<sub>i</sub>}.In this letter, let {X<sub>i</sub>} be a standard normal sequence of random variables with zero meanand unit variance and write r<sub>ij</sub>=cov（X<sub>i</sub>, X<sub>j</sub>）.展开更多
基金his paper is supported by the Humanities and Social Sciences Foundation of the Ministry of Education of China(No.20YJA910006)Natural Science Foundation of Jiangsu Province(No.BK20201396)+2 种基金Natural Science Foundation of the Jiangsu Higher Education Institutions(No.19KJA180003)the Grant from the Research Grants Council of the Hong Kong Special Administrative Region,China(Project No.HKU17329216)the CAE 2013 Research Grant from the Society of Actuaries.
文摘In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-returns described as a general adapted càdlàg process.Under the assumptions that the claim sizes are heavy-tailed and the stochastic log-return process on investments is bounded from below almost surely,we derive some asymptotic formulas for the finite-time ruin probability holding uniformly in any finite time horizon.
基金Supported by the National Natural Science Foundation of China(No.11071045,No.11171179,No.11201080,No.11301391)the Research Fund for the Doctoral Program of Higher Education of China(No.20133705110002)
文摘Several authors have studied the uniform estimate for the tail probabilities of randomly weighted sumsa.ud their maxima. In this paper, we generalize their work to the situation thatis a sequence of upper tail asymptotically independent random variables with common distribution from the is a sequence of nonnegative random variables, independent of and satisfying some regular conditions. Moreover. no additional assumption is required on the dependence structureof {θi,i≥ 1）.
文摘RECENTLY, a number of papers have been published concerning the asymptotic independentproperties of V X<sub>i</sub> and sum from 1 X<sub>i</sub> of weakly dependent stationary sequence {X<sub>i</sub>}.In this letter, let {X<sub>i</sub>} be a standard normal sequence of random variables with zero meanand unit variance and write r<sub>ij</sub>=cov（X<sub>i</sub>, X<sub>j</sub>）.
