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Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims

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Abstract

This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails. The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities. In particular, if the claims are identically distributed and consistently-varying tailed, then an asymptotic formula is presented.

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Authors and Affiliations

  1. Department of Mathematics, Soochow University, Suzhou, 215006, China

    Yinghua Dong & Yuebao Wang

  2. College of Mathematics and Statistics, Nanjing University of Information Science and Technology, Nanjing, 210044, China

    Yinghua Dong

Authors
  1. Yinghua Dong
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  2. Yuebao Wang
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Corresponding author

Correspondence to Yuebao Wang.

Additional information

This research is supported by the National Science Foundation of China under Grant No. 11071182 and the fund of Nanjing University of Information Science and Technology under Grant No. Y627.

This paper was recommended for publication by Editor Guohua ZOU.

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Dong, Y., Wang, Y. Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims. J Syst Sci Complex 25, 303–314 (2012). https://doi.org/10.1007/s11424-012-9294-2

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  • DOI: https://doi.org/10.1007/s11424-012-9294-2

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