Editorial Board

JMI2010B-2 Large deviations and finite time ruin probabilities for generalized renewal risk models (pp.127-131)

Author(s): Kaiyong Wang and Xiaoli Li

J. Math-for-Ind. 2B (2010) 127-131.

In this paper, we extend the standard renewal risk model to the case where the premium income process is a counting process and the claim sizes and the inter-arrival times are two sequences of negatively associated random variables. For this risk model, the paper investigates the large deviations for the claim surplus process and gives the Lundberg type limiting results on the finite time ruin probabilities.

Keyword(s).  Generalized renewal risk model, finite time ruin probability, large deviation