ISSN 0253-2778

CN 34-1054/N

Open AccessOpen Access JUSTC Research Articles:Mathematics

A uniform asymptotic estimate for ruin probability of a discrete-time risk model with subexponential innovations

Funds:  Supported by the National Key Research and Development Plan (2016YFC0800104), National Nature Science Foundation of China (71771203).
Cite this:
https://doi.org/10.3969/j.issn.0253-2778.2017.11.001
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  • Author Bio:

    SHEN Linchuan, female, born in 1994, master. Research field: Limit theory in risk theory. E-mail: linchuan@mail.ustc.edu.cn.

  • Corresponding author: CHEN Yu, PhD/associate Prof. E-mail: cyu@ustc.edu.cn
  • Publish Date: 30 November 2017
  • The recursive equation Tn=Xn+Tn-1Yn was considered, in which Xn and Yn are two independent random variables, and Tn-1 on the right-hand side is independent of (Xn,Yn). Under the assumption that Xn follows a subexponential distribution with a nonzero lower Karamata index, and that (Xn,Yn) fulfills a certain dependence structure, some asymptotic formulas were obtained for the tail probabilities of Tn in this equation.
    The recursive equation Tn=Xn+Tn-1Yn was considered, in which Xn and Yn are two independent random variables, and Tn-1 on the right-hand side is independent of (Xn,Yn). Under the assumption that Xn follows a subexponential distribution with a nonzero lower Karamata index, and that (Xn,Yn) fulfills a certain dependence structure, some asymptotic formulas were obtained for the tail probabilities of Tn in this equation.
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