Ӧ�ø���ͳ�� 2012, 28(4) 439-448 DOI:      ISSN: 1001-4268 CN: 31-1256

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Estimates and Numerical Simulations for the Finite-Time Ruin Probability in the Extended Negatively Dependent General Risk Model
Yang Yang, Lin Jinguan
School of Mathematics and Statistics, Nanjing Audit University, Department of Mathematics, Southeast University
Abstract:

This paper investigates a dependent
heavy-tailed risk model with constant interest rate, where the claim
sizes are a sequence of upper extended negatively dependent random
variables; the claim arrival process is a general nonnegative
integer-valued counting process, which is independent of the claim
sizes; and the premium process is a general nonnegative and
nondecreasing stochastic process. We obtain an asymptotic result on
the finite-time ruin probability of an insurance company in two
cases, where, one is the claim sizes, the claim arrival process and
the premium process are mutually independent; the other is the tail
probability of the total discounted amount of premiums can be highly
dominated by that of the claim size. Besides, we conduct some
numerical simulations to verify the accuracy of the asymptotic
relation in the obtained result.

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