当前位置: X-MOL 学术Stochastics › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
Stochastics ( IF 0.9 ) Pub Date : 2021-04-15 , DOI: 10.1080/17442508.2021.1915316
Xijun Liu 1 , Qingwu Gao 2
Affiliation  

Consider a nonstandard compound renewal risk model, which is more realistic in catastrophe insurance and can extend classical risk models to the case when perhaps not only one individual claim occurs in a catastrophe such as windstorm, earthquake, epidemic, strike or riot. In the presence of heavy tails and dependence structures among modelling components, we obtain the uniform asymptotics of the tail probability of discounted aggregate claims and the finite-time ruin probability for all time varying in a relevant finite or infinite interval.



中文翻译:

具有依赖结构和恒定兴趣力的复合风险模型的均匀渐近

考虑一个非标准的复合续保风险模型,它在巨灾保险中更为现实,并且可以将经典风险模型扩展到可能不仅有一个个人索赔发生在诸如风暴、地震、流行病、罢工或骚乱等灾难中的情况。在建模组件之间存在重尾和依赖结构的情况下,我们获得了在相关有限或无限区间内随时间变化的贴现总债权尾概率和有限时间破产概率的一致渐近线。

更新日期:2021-04-15
down
wechat
bug