Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest (Q610745)
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scientific article; zbMATH DE number 5825470
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest |
scientific article; zbMATH DE number 5825470 |
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Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest (English)
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10 December 2010
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The author establishes asymptotics for the finite-time ruin probability in a nonstandard compound renewal risk model under certain dependence assumptions between the inter-occurrence times as well as the claim sizes.
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finite-time ruin probability
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compound renewal risk model
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heavy tail
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negative dependence
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