The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims
| Autor: | Hui Xu, Fengyang Cheng |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
021103 operations research Probability (math.PR) 0211 other engineering and technologies 02 engineering and technology Poisson distribution 01 natural sciences 010104 statistics & probability symbols.namesake Risk model Mathematics::Probability Conditional independence symbols FOS: Mathematics Applied mathematics Asymptotic formula 0101 mathematics Finite time Constant (mathematics) Mathematics - Probability Mathematics |
| DOI: | 10.48550/arxiv.1705.09939 |
| Popis: | This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common subexponential distribution. The paper also obtains some asymptotic relations of randomly weighted sums $\sum_{i=1}^n \theta_iX_i$, in which the weights $\theta_i$ $i=1,2,\cdots, n$ are positive random variables which are bounded above and the primary random variables $X_i$, $i=1,2,\cdots,n$ are conditionally independent and follow subexponential distributions. Comment: 14 pages |
| Databáze: | OpenAIRE |
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