The finite-time ruin probability of the compound Poisson model with constant interest force

被引：88

作者：

Tang, QH ^{[1
]}

机构：

[1] Concordia Univ, Dept Math & Stat, Montreal, PQ H4B 1R6, Canada

来源：

JOURNAL OF APPLIED PROBABILITY | 2005年 / 42卷 / 03期

关键词：

asymptotics; finite-time ruin probability; Poisson process; regular variation; subexponentiality; uniform asymptotics; uniform convergence;

D O I：

10.1239/jap/1127322015

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regularly varying tailed.

引用

页码：608 / 619

页数：12

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