Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (Q549849)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniform estimates for the finite-time ruin probability in the dependent renewal risk model |
scientific article |
Statements
Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (English)
0 references
18 July 2011
0 references
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.
0 references
Finite-time ruin probability
0 references
strongly subexponential distribution
0 references
negative dependence
0 references
