Approximation for the ruin probabilities in a discrete time risk model with dependent risks
This paper studies some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with nonconstant interest rates, under the assumptions that the individual net losses are bivariate upper-tail independent, identically distributed random variables having a common distribution in the class . Additionally, it also establishes two-side bounds for ultimate ruin probability.
Year of publication: |
2010
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Authors: | Wang, Yinfeng ; Yin, Chuancun |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 17-18, p. 1335-1342
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Publisher: |
Elsevier |
Keywords: | Asymptotics Nonconstant interest rates Ruin probability Dependent risks Discrete time risk model |
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