Bulletin of the Iranian Mathematical Society

Bulletin of the Iranian Mathematical Society

Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes

Document Type : Research Paper

Authors
Suzhou University of Science and Technology
Abstract
 This paper mainly considers a nonstandard risk model with a constant interest rate‎, ‎where both the claim sizes and the inter-arrival times follow some certain dependence structures‎. ‎When the claim sizes are dominatedly varying-tailed‎, ‎asymptotics for the infinite time ruin probability of the above dependent risk model have been given‎.
Keywords
Subjects

  • Receive Date 03 September 2011
  • Revise Date 02 June 2013
  • Accept Date 08 June 2013