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Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims

2012
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ISRN Probability and Statistics
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We consider a generalized time-dependent risk model with constant interest force, where the claim sizes are of pairwise quasiasymptotical independence structure, and the claim size and its interclaim time satisfy a dependence structure defined by a conditional tail probability of the claim size given the interclaim time before the claim occurs. As the claim-size distribution belongs to the dominated variation class, we establish some weakly asymptotic formulae for the tail probability of

doi:10.5402/2012/186348
fatcat:33fowalmurdbxbm6akszspq2ny