approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims近似的限定时间一般风险模型的破产概率与常数利率和扩展消极依赖重尾分布要求.pdfVIP

Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2011, Article ID 852852, 14 pages doi:10.1155/2011/852852 Research Article Approximation for the Finite-Time Ruin Probability of a General Risk Model with Constant Interest Rate and Extended Negatively Dependent Heavy-Tailed Claims Yang Yang,1, 2 Xin Ma,3 and Jin-guan Lin2 1 School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029, China 2 Department of Mathematics, Southeast University, Nanjing 210096, China 3 Golden Audit College, Nanjing Audit University, Nanjing 210029, China Correspondence should be addressed to Yang Yang, yyangmath@ Received 6 March 2011; Revised 3 May 2011; Accepted 9 May 2011 Academic Editor: P. Liatsis Copyright q 2011 Yang Yang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We propose a general continuous-time risk model with a constant interest rate. In this model, claims arrive according to an arbitrary counting process, while their sizes have dominantly varying tails and fulfill an extended negative dependence structure. We obtain an asymptotic formula for the finite-time ruin probability, which extends a corresponding result of Wang 2008. 1. The Dependent General Risk Model In this paper, we consider the finite-time ruin probability with constant interest rate in a dependent general risk model. In this model, the claim sizes {Xn, n ≥ 1} form a sequence of identically distributed, not necessarily independent, and nonnegative random variables r.v.s with common distribution F such that F x 1 − F x PX1 x 0 for all x 0; the claim arrival process