Uniform estimates for ruin probabilities in a discrete-time risk model with dominated-varying tailed claims

摘要：

In this paper, we consider a discrete-time risk model, where claims form a sequence of identically distributed and upper-tail independent random variables. When the claim-size distribution belongs to the dominated variation class, we obtain uniform estimates for the finite-time and infinite-time ruin probabilities and improve the corresponding results in Shen et al. (2009) and Gao and Wang (2010).

关键词： asymptotics ruin probabilities upper-tail independence dominated-varying tail uniformity.

作者: Yinghua Dong

作者单位: Department of Mathematics, Soochow University, Suzhou 210056, China College of Mathematics & Physics, Nanjing University of Information Science & Technology, Nanjing 210044, China

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 87-90

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）