2024
DOI: 10.1051/wujns/2024291021
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Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes

Chenghao XU,
Kaiyong WANG,
Jiangyan PENG

Abstract: This paper considers the one- and two-dimensional risk models with a non-stationary claim-number process. Under the assumption that the claim-number process satisfies the large deviations principle, the uniform asymptotics for the finite-time ruin probability of a one-dimensional risk model are obtained for the strongly subexponential claim sizes. Further, as an application of the result of one-dimensional risk model, we derive the uniform asymptotics for a kind of finite-time ruin probability in a two dimensi… Show more

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