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ISSN: 1549-3644 (Print)
ISSN: 1558-6359 (Online)
Research Article Open Access

ASYMPTOTIC BEHAVIOR OF FINITE-TIME RUIN PROBABILITY IN A BY-CLAIM RISK MODEL WITH CONSTANT INTEREST RATE

Lei Wang1
  • 1 The University of Southern Mississippi, United States

Abstract

This study investigates the ruin probability of a renewal risk model with constant interest rate and by-claim parts. We assume that the claim size and the inter-arrival time satisfy a certain dependent structure with some additional assumptions on their distribution functions. In particular, we study the asymptotic behavior of P(R*δ´ (t, x) >x), which holds uniformly in a finite interval. In this way, we significantly extend the Li's result regarding the pairwise strong quasi-asymptotically independent random variables.

Journal of Mathematics and Statistics
Volume 10 No. 3, 2014, 339-357

DOI: https://doi.org/10.3844/jmssp.2014.339.357

Submitted On: 7 May 2014 Published On: 5 August 2014

How to Cite: Wang, L. (2014). ASYMPTOTIC BEHAVIOR OF FINITE-TIME RUIN PROBABILITY IN A BY-CLAIM RISK MODEL WITH CONSTANT INTEREST RATE. Journal of Mathematics and Statistics, 10(3), 339-357. https://doi.org/10.3844/jmssp.2014.339.357

Open AccessCopyright: © 2014 Lei Wang. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

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Keywords

  • Renewal Risk Model
  • Subexponential Distribution
  • Uniform Asymptotic
  • Pairwise Strong Quasi-Asymptotically