点击次数：

论文类型：期刊论文

发表时间：2013-03-01

发表刊物：METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

收录刊物：SCIE

卷号：15

期号：1

页面范围：165-186

ISSN号：1387-5841

关键字：Compound renewal risk model; Ruin probability; Consistent variation; Asymptotically quadrant sub-independent; Markov environment process

摘要：In this paper, we consider the random sums of one type of asymptotically quadrant sub-independent and identically distributed random variables {X, X (i) , i = 1, 2, a <-aEuro parts per thousand} with consistently varying tails. We obtain the asymptotic behavior of the tail under different cases of the interrelationships between the tails of X and eta, where eta is an integer-valued random variable independent of {X, X (i) , i = 1, 2, a <-aEuro parts per thousand}. We find out that the asymptotic behavior of is insensitive to the dependence assumed in the present paper. We state some applications of the asymptotic results to ruin probabilities in the compound renewal risk model under dependent risks. We also state some applications to a compound collective risk model under the Markov environment.