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| Uniform asymptotics for ruin probability in dependent risk model |
| 1.School of Mathematics and Statistics, Nanjing Audit University, Nanjing, Jiangsu 210029, China; 2.Department of Mathematics, Southeast University, Nanjing, Jiangsu 210096, China) |
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Abstract In order to investigate some ruin topics in some dependent renewal risk models, an asymptotic result on negative association renewal counting process was obtained. Based on the result, a dependent renewal risk model was considered. The claim interarrival times and the claim sizes were identical distribution random variables of negative and independent association, respectively, while the common distribution belonged to the strong subexponential distribution class. According to the elementary renewal theorem of negative association random variable, the uniform asymptotic estimate for the infinitetime ruin probability and the finitetime ruin probability of insurance company was obtained. The time horizon flexibly varies within t∈［f(x),∞), and f(x) is an arbitrary increasing nonnegative function tending to infinity. Some corresponding results were generalized.
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2011, Vol. 32 
