Acta mathematica scientia,Series A ›› 2009, Vol. 29 ›› Issue (3): 669-676.

• Articles • Previous Articles     Next Articles

Asymptotic Estimate for the Probability of an Exceedance over Negatively Associated Renewal Thresholds and the Ruin Probability in Dividend Barrier Models

  

  1. (1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029|2. Department of Mathematics, Soochow University, Suzhou 215006)
  • Received:2007-03-08 Revised:2008-07-30 Online:2009-06-25 Published:2009-06-25
  • Supported by:

    国家自然科学基金(10671139)和江苏省高校自然科学指导性项目(06KJD110092)资助

Abstract:

In this paper, we obtain an asymptotic estimate for the probability of an exceedance over negatively associated renewal thresholds, which extends the corresponding result of Robert (2005)[12]. Furthermore, using a new method, we also derive a more rigorous proof of the
asymptotics for the ruin probability in dividend barrier models.

Key words: Negatively Associated, Maximum, Stopping time, Heavy-tailed distribution, Dividend barrier model, Ruin probability

CLC Number: 

  • 60G70
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