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《Chinese Journal of Applied Probability and Statistics》 2018-01
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Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims

WU JinTang;LI XiaoHu;School of Mathematical Sciences, Huaqiao University;Department of Mathematical Sciences, Stevens Institute of Technology;  
This note deals with an insurance company with multiple lines of business. In the context of heavy-tailed heterogeneous claim amounts with the 1st upper-orthant tail dependence,based on the so-called k-out-of-n ruin set, we can exhibit the Radon measure μ and derive the asymptotic ruin probability for some of all lines business to ruin in a finite time. One numerical example is also presented to illustrate our main results.
【Fund】: supported by the Scientific Research Funds of Huaqiao University(Grant No.15BS312);; the Promotion Program for Young and Middle-Aged Teacher in Science and Technology Research of Huaqiao University(Grant No.ZQN-PY503);; the National Natural Science Foundations of China(Grant Nos.11171278;11701194)
【CateGory Index】: F224;F840
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