The uniform local asymptotics of the total net loss process in a new time-dependent bidimensional renewal model

2017/06/15 by Tao Jiang, Jiang, Tao, Yuebao Wang +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Probability and Risk Models #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications

paper · pdf · doi:10.48550/arxiv.1706.04900

Abstract

In this paper, we consider a bidimensional renewal risk model with constant force of interest, in which the claim size vector with certain local subexponential marginal distribution and its inter-arrival time are subject to a new time-dependence structure. We obtain the uniform local asymptotics of the total net loss process in the model. Moreover, some specific examples of the joint distribution satisfying the conditions of the dependence structure are given. Finally, in order to illustrate a condition of the above result, a local subexponential distribution is find for the first time that, its local distribution is not almost decreased.

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