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Article: The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

TitleThe ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
Authors
Chen, YNg, KW
KeywordsAsymptotics
Constant interest force
Extended regular variation
Negative dependence
Renewal model
Ruin probability
Issue Date2007
PublisherElsevier 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?
DOI: http://dx.doi.org/10.1016/j.insmatheco.2006.06.004
AbstractRecently, 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 Identifierhttp://hdl.handle.net/10722/82656
ISSN
0167-6687
2021 Impact Factor: 2.168
2020 SCImago Journal Rankings: 1.139
ISI Accession Number ID
WOS:000245769800004
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorChen, Yen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:31:54Z-
dc.date.available2010-09-06T08:31:54Z-
dc.date.issued2007en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2007, v. 40 n. 3, p. 415-423en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82656-
dc.description.abstractRecently, 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.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.rightsInsurance: Mathematics and Economics . Copyright © Elsevier BV.en_HK
dc.subjectAsymptoticsen_HK
dc.subjectConstant interest forceen_HK
dc.subjectExtended regular variationen_HK
dc.subjectNegative dependenceen_HK
dc.subjectRenewal modelen_HK
dc.subjectRuin probabilityen_HK
dc.titleThe ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claimsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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+claimsen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2006.06.004en_HK
dc.identifier.scopuseid_2-s2.0-33847331202en_HK
dc.identifier.hkuros138163en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33847331202&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume40en_HK
dc.identifier.issue3en_HK
dc.identifier.spage415en_HK
dc.identifier.epage423en_HK
dc.identifier.isiWOS:000245769800004-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridChen, Y=36468032600en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.issnl0167-6687-

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