Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes

作     者：XU Chenghao WANG Kaiyong PENG Jiangyan XU Chenghao;WANG Kaiyong;PENG Jiangyan

作者机构：School of Mathematical SciencesSuzhou University of Science and TechnologySuzhou 215009JiangsuChina School of Mathematical SciencesUniversity of Electronic Science and Technology of ChinaChengdu 611731SichuanChina 

出 版 物：《Wuhan University Journal of Natural Sciences》 (武汉大学学报（自然科学英文版）)

年 卷 期：2024年第29卷第1期

页      面：21-28页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Supported by the 333 High Level Talent Training Project of Jiangsu Province the National Natural Science Foundation of China(71871046) Science and Technology Projects of Sichuan Province(2021YFQ0007) 

主　　题：one-dimensional risk model two-dimensional risk model large deviations principle finite-time ruin probability heavy-tailed distributions 

摘      要：This paper considers the one-and two-dimensional risk models with a non-stationary claim-number *** 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 ***,as an application of the result of onedimensional 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.