Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (Q549849)
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scientific article; zbMATH DE number 5925620
| Language | Label | Description | Also known as |
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| English | Uniform estimates for the finite-time ruin probability in the dependent renewal risk model |
scientific article; zbMATH DE number 5925620 |
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Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (English)
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18 July 2011
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The paper deals with the dependent renewal risk model, in particular focusing on the finite-time ruin probability, when the claim sizes are i.i.d. with strongly subexponential tails and the interarrival times are negatively dependent. Moreover, the authors obtain an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line.
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Finite-time ruin probability
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strongly subexponential distribution
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negative dependence
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