On the random-time and finite-time ruin probability for widely dependent claim sizes and inter-arrival times

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time ruin probability for a nonstandard renewal risk model, in which both claim sizes and the inter-arrival times of claim sizes are widely dependent.

Publication Details

Journal
ArXiv.org
Published
2025-06-23
Primary Topic
Probability and Risk Models
Type
article
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article

On the random-time and finite-time ruin probability for widely dependent claim sizes and inter-arrival times

ArXiv.org
Probability and Risk Models
article

On the random-time and finite-time ruin probability for widely dependent claim sizes and inter-arrival times

article en

Abstract

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time ruin probability for a nonstandard renewal risk model, in which both claim sizes and the inter-arrival times of claim sizes are widely dependent.

ArXiv.org
Openalex Percentile: Top 42%
Probability and Risk Models
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On the random-time and finite-time ruin probability for widely dependent claim sizes and inter-arrival times · ArXiv.org (2025) | TGRS Research Map | TGRS