Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 2014-09, Vol.58, p.185-192
Hauptverfasser:	Yang, Haizhong, Li, Jinzhu
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Asymptotics Bidimensional renewal risk model Distribution Farlie–Gumbel–Morgenstern distribution Financial risks Probability Probability distribution Random sampling Risk assessment Ruin probability Studies Subexponentiality
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description	This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula.
doi_str_mv	10.1016/j.insmatheco.2014.07.007
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Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula.</description><subject>Asymptotic methods</subject><subject>Asymptotics</subject><subject>Bidimensional renewal risk model</subject><subject>Distribution</subject><subject>Farlie–Gumbel–Morgenstern distribution</subject><subject>Financial risks</subject><subject>Probability</subject><subject>Probability distribution</subject><subject>Random sampling</subject><subject>Risk assessment</subject><subject>Ruin probability</subject><subject>Studies</subject><subject>Subexponentiality</subject><issn>0167-6687</issn><issn>1873-5959</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNqFkc1q3DAUhUVpIdM07yDophu7ku2R5GUa2rQQyKZdC_1ckzu1JVeSm85T5JWjYQqFbIoWV3C_c7iHQwjlrOWMi4-HFkNeTHkAF9uO8aFlsmVMviI7rmTf7Mf9-JrsKiobIZS8IG9zPjDG-Cjkjjxd5-OylljQ0QkDFmgKLkDThoGuKVpjccZypFNM1FCLvm5DxhjMTBMEeDxNzD_pEj3M9BHLA3Ux5GJCoRgKJMjlpHZATfDUwwrBQ13mzcKfNYb6x2riZoNLfkfeTGbOcPV3XpIfXz5_v_na3N3ffru5vmvcMPSlGQ1YbmUnrPUSxl5Zwb2fumEaOt51XCnTW8mMYmrgrB8lG0dppXPgfS_ruyQfzr4146-tnqgXzA7m2QSIW9Zc9OOgmBRDRd-_QA9xSzV_pfail1wMqquUOlMuxZwTTHpNuJh01JzpU1P6oP81pU9NaSZ1bapKP52lUAP_Rkg6O4RQb8UErmgf8f8mz2A8pTs</recordid><startdate>20140901</startdate><enddate>20140901</enddate><creator>Yang, Haizhong</creator><creator>Li, Jinzhu</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>JQ2</scope></search><sort><creationdate>20140901</creationdate><title>Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims</title><author>Yang, Haizhong ; Li, Jinzhu</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c443t-9aeb1b726bbd7e938b61ddf24f42122188a3b70a8084103970997b7ccedd37373</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Asymptotic methods</topic><topic>Asymptotics</topic><topic>Bidimensional renewal risk model</topic><topic>Distribution</topic><topic>Farlie–Gumbel–Morgenstern distribution</topic><topic>Financial risks</topic><topic>Probability</topic><topic>Probability distribution</topic><topic>Random sampling</topic><topic>Risk assessment</topic><topic>Ruin probability</topic><topic>Studies</topic><topic>Subexponentiality</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Yang, Haizhong</creatorcontrib><creatorcontrib>Li, Jinzhu</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Computer Science Collection</collection><jtitle>Insurance, mathematics & economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Yang, Haizhong</au><au>Li, Jinzhu</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims</atitle><jtitle>Insurance, mathematics & economics</jtitle><date>2014-09-01</date><risdate>2014</risdate><volume>58</volume><spage>185</spage><epage>192</epage><pages>185-192</pages><issn>0167-6687</issn><eissn>1873-5959</eissn><coden>IMECDX</coden><abstract>This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. 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subjects	Asymptotic methods Asymptotics Bidimensional renewal risk model Distribution Farlie–Gumbel–Morgenstern distribution Financial risks Probability Probability distribution Random sampling Risk assessment Ruin probability Studies Subexponentiality
title	Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
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