Research Article Open Access

ASYMPTOTIC BEHAVIOR OF FINITE-TIME RUIN PROBABILITY IN A BY-CLAIM RISK MODEL WITH CONSTANT INTEREST RATE

Lei Wang1
  • 1 The University of Southern Mississippi, United States

Abstract

This study investigates the ruin probability of a renewal risk model with constant interest rate and by-claim parts. We assume that the claim size and the inter-arrival time satisfy a certain dependent structure with some additional assumptions on their distribution functions. In particular, we study the asymptotic behavior of P(R*δ´ (t, x) >x), which holds uniformly in a finite interval. In this way, we significantly extend the Li's result regarding the pairwise strong quasi-asymptotically independent random variables.

Journal of Mathematics and Statistics
Volume 10 No. 3, 2014, 339-357

DOI: https://doi.org/10.3844/jmssp.2014.339.357

Submitted On: 7 May 2014 Published On: 5 August 2014

How to Cite: Wang, L. (2014). ASYMPTOTIC BEHAVIOR OF FINITE-TIME RUIN PROBABILITY IN A BY-CLAIM RISK MODEL WITH CONSTANT INTEREST RATE. Journal of Mathematics and Statistics, 10(3), 339-357. https://doi.org/10.3844/jmssp.2014.339.357

  • 3,611 Views
  • 2,117 Downloads
  • 0 Citations

Download

Keywords

  • Renewal Risk Model
  • Subexponential Distribution
  • Uniform Asymptotic
  • Pairwise Strong Quasi-Asymptotically