Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims

Qingwu Gao; Zhongquan Huang; Houcai Shen; Juan Zheng

doi:10.3934/jimo.2016.12.31

Article Contents

2016, Volume 12, Issue 1: 31-43. Doi: 10.3934/jimo.2016.12.31

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Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims

1.
International Center of Management Science and Engineering, School of Management and Engineering, Nanjing University, Nanjing, 210093
2.
Department of Mathematics, Zaozhuang University, Zaozhuang, 277160

Received: November 30, 2012

Revised: October 31, 2014

Published: December 2015

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Abstract

This paper investigates the asymptotic behavior of the random-time ruin probability in a time-dependent renewal risk model with pairwise quasi-asymptotically independent and subexponential claims, where the time-dependence structure is constructed between a claim size and its inter-arrival time, and described by a conditional tail probability of the claim size given the inter-arrival time before the claim occurs. In particular, the results we obtained are also valid for the finite-time ruin probability.

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Mathematics Subject Classification: Primary: 62E20; Secondary: 62P05, 91B30.

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References

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