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Article: The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
Title | The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims |
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Authors | |
Keywords | Asymptotics Constant interest force Extended regular variation Negative dependence Renewal model Ruin probability |
Issue Date | 2007 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2007, v. 40 n. 3, p. 415-423 How to Cite? |
Abstract | Recently, Tang [Tang, Q., 2005a. Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Scand. Actuar. J. (1), 1-5] obtained a simple asymptotic formula for the ruin probability of the renewal risk model with constant interest force and regularly varying tailed claims. In this paper, we use a completely different approach to extend Tang's result to the case in which the claims are pairwise negatively dependent and extended regularly varying tailed. © 2006 Elsevier Ltd. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/82656 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Chen, Y | en_HK |
dc.contributor.author | Ng, KW | en_HK |
dc.date.accessioned | 2010-09-06T08:31:54Z | - |
dc.date.available | 2010-09-06T08:31:54Z | - |
dc.date.issued | 2007 | en_HK |
dc.identifier.citation | Insurance: Mathematics And Economics, 2007, v. 40 n. 3, p. 415-423 | en_HK |
dc.identifier.issn | 0167-6687 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82656 | - |
dc.description.abstract | Recently, Tang [Tang, Q., 2005a. Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Scand. Actuar. J. (1), 1-5] obtained a simple asymptotic formula for the ruin probability of the renewal risk model with constant interest force and regularly varying tailed claims. In this paper, we use a completely different approach to extend Tang's result to the case in which the claims are pairwise negatively dependent and extended regularly varying tailed. © 2006 Elsevier Ltd. All rights reserved. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_HK |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_HK |
dc.rights | Insurance: Mathematics and Economics . Copyright © Elsevier BV. | en_HK |
dc.subject | Asymptotics | en_HK |
dc.subject | Constant interest force | en_HK |
dc.subject | Extended regular variation | en_HK |
dc.subject | Negative dependence | en_HK |
dc.subject | Renewal model | en_HK |
dc.subject | Ruin probability | en_HK |
dc.title | The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=40&issue=3&spage=415&epage=423&date=2007&atitle=The+ruin+probability+of+the+renewal+model+with+constant+interest+force+and+negatively+dependent+heavy-tailed+claims | en_HK |
dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | en_HK |
dc.identifier.authority | Ng, KW=rp00765 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2006.06.004 | en_HK |
dc.identifier.scopus | eid_2-s2.0-33847331202 | en_HK |
dc.identifier.hkuros | 138163 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33847331202&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 40 | en_HK |
dc.identifier.issue | 3 | en_HK |
dc.identifier.spage | 415 | en_HK |
dc.identifier.epage | 423 | en_HK |
dc.identifier.isi | WOS:000245769800004 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Chen, Y=36468032600 | en_HK |
dc.identifier.scopusauthorid | Ng, KW=7403178774 | en_HK |
dc.identifier.issnl | 0167-6687 | - |