Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times

In 2007, Chen and Ng investigated infinite-time ruin probability with constant interest force and 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 ruin prob...

Full description

Saved in:
Bibliographic Details
Published in:Journal of systems science and complexity 2009-06, Vol.22 (3), p.407-414
Main Authors: Li, Jingzhi, Wang, Kaiyong, Wang, Yuebao
Format: Article
Language:English
Subjects:
Complex Systems
Control
Mathematics
Mathematics and Statistics
Mathematics of Computing
Operations Research/Decision Theory
Statistics
Systems Theory
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In 2007, Chen and Ng investigated infinite-time ruin probability with constant interest force and 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 ruin probability with constant interest force, negatively quadrant dependent, and dominated varying-tailed claims and negatively lower orthant dependent inter-arrival times. In particular, when the claims are consistently varying-tailed, an asymptotic equivalent formula is presented.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-009-9173-7