Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims英文文献资料.docVIP

HindawiPublishingCorporation MathematicalProblemsinEngineering Volume2011,ArticleID852852,14pages doi:10.1155/2011/852852 ResearchArticle Approximation fortheFinite-TimeRuin ProbabilityofaGeneralRiskModelwith ConstantInterestRateandExtended Negatively Dependent Heavy-TailedClaims andJin-guanLin YangYang,1,2XinMa,3 2 1SchoolofMathematics andStatistics,NanjingAuditUniversity,Nanjing210029,China 2Department ofMathematics, Southeast University,Nanjing210096,China 3GoldenAuditCollege,NanjingAuditUniversity,Nanjing210029,China Correspondence shouldbeaddressedtoYangYang,yyangmath@ Received6March2011;Revised3May2011;Accepted 9May2011 Academic Editor:P.Liatsis Copyright q2011YangYangetal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use,distribution, andreproduction in anymedium,providedtheoriginalworkisproperlycited. We propose a general continuous-time risk model with a constant interest rate. In this model, claimsarriveaccordingtoanarbitrarycountingprocess,whiletheirsizeshavedominantlyvarying tailsandful?llanextended negative dependence structure. Weobtainanasymptotic formula for the?nite-time ruinprobability,whichextendsacorresponding resultofWang2008. 1.TheDependentGeneralRiskModel In this paper, we consider the ?nite-time ruin probability with constant interest rate in a dependentgeneralriskmodel. Inthismodel, theclaimsizes{Xn,n ≥ 1}formasequence of identicallydistributed,notnecessarilyindependent,andnonnegative randomvariables r.v.swithcommondistributionFsuchthatFx 1?Fx PX1 x 0forallx 0; theclaimarrivalprocess{Nt,t≥0}isageneralcountingprocess,namely,anonnegative, nondecreasing, right continuous, and integer-valued stochastic process with 0 ENt   λt∞foralllarget0.Thetimesofthesuccessiveclaimsaredenotedby{τn,n≥1} .The totalamountofpremiumsaccumulateduptotimet≥0,denotedbyCtwithC00and Ct∞almostsurelyforeveryt0,isanotherno