Issue |
Wuhan Univ. J. Nat. Sci.
Volume 29, Number 1, February 2024
|
|
---|---|---|
Page(s) | 21 - 28 | |
DOI | https://doi.org/10.1051/wujns/2024291021 | |
Published online | 15 March 2024 |
Mathematics
CLC number: O211
Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes
1
School of Mathematical Sciences, Suzhou University of Science and Technology, Suzhou 215009, Jiangsu, China
2
School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731, Sichuan, China
† Corresponding author. E-mail: beewky@vip.163.com
Received:
22
April
2023
This paper considers the one- and two-dimensional risk models with a non-stationary claim-number process. Under the assumption that the claim-number process satisfies the large deviations principle, the uniform asymptotics for the finite-time ruin probability of a one-dimensional risk model are obtained for the strongly subexponential claim sizes. Further, as an application of the result of one-dimensional risk model, we derive the uniform asymptotics for a kind of finite-time ruin probability in a two dimensional risk model sharing a common claim-number process which satisfies the large deviations principle.
Key words: one-dimensional risk model / two-dimensional risk model / large deviations principle / finite-time ruin probability / heavy-tailed distributions
Cite this article: XU Chenghao, WANG Kaiyong, PENG Jiangyan. Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes[J]. Wuhan Univ J of Nat Sci, 2024, 29(1): 21-28.
Biography: XU Chenghao, male, Master candidate, research direction: actuarial science. E-mail: 534759246@qq.com
Fundation item: Supported by the 333 High Level Talent Training Project of Jiangsu Province, the National Natural Science Foundation of China (71871046) and Science and Technology Projects of Sichuan Province (2021YFQ0007)
© Wuhan University 2023
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