Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (Q549849): Difference between revisions
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Revision as of 01:25, 20 March 2024
scientific article
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| English | Uniform estimates for the finite-time ruin probability in the dependent renewal risk model |
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Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (English)
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18 July 2011
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The paper deals with the dependent renewal risk model, in particular focusing on the finite-time ruin probability, when the claim sizes are i.i.d. with strongly subexponential tails and the interarrival times are negatively dependent. Moreover, the authors obtain an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line.
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Finite-time ruin probability
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strongly subexponential distribution
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negative dependence
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