FINITE-HORIZON RUIN PROBABILITY ASYMPTOTICS IN THE COMPOUND DISCRETE-TIME RISK MODEL

被引：6
|
作者：
Leipus, Remigijus [1 ,2 ]
Siaulys, Jonas [1 ,2 ]
机构：
[1] Vilnius State Univ, Fac Math & Informat, LT-03225 Vilnius, Lithuania
[2] Vilnius State Univ, Inst Math & Informat, LT-08663 Vilnius, Lithuania
来源：
LITHUANIAN MATHEMATICAL JOURNAL | 2011年 / 51卷 / 02期
关键词：
ruin probability; finite-horizon ruin probability; compound discrete-time risk model; RANDOM SUMS; BEHAVIOR;
D O I：
10.1007/s10986-011-9120-x
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we consider the compound discrete-time risk model which is a modification of the classical discrete-time (compound binomial) risk model. In this model, the claims in each fixed subsequent time interval arrive independently, and their number is random. We find the asymptotics of finite-horizon ruin probability in such a model for a subclass of heavy-tailed claim sizes and claim numbers.
引用
收藏
页码：207 / 219
页数：13
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