Finite-time Ruin Probability of Renewal Model with Risky Investment and Subexponential Claims

被引：0

作者：

Jiang, Tao ^{[1
]}

机构：

[1] Zhejiang Gongshang Univ, Sch Finance, Hangzhou 310018, Zhejiang, Peoples R China

来源：

WORLD CONGRESS ON ENGINEERING 2009, VOLS I AND II | 2009年

关键词：

Ruin probability; renewal risk model; subexponential class; ruin probability with finite horizon; CONSTANT INTEREST FORCE; POISSON MODEL;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

In this paper, we establish a simple asymptotic formula for the finite-tithe ruin probability of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is large. The result is consistent with known results for the ultimate and finite-time ruin probability and, particularly, is inconsistent with the corresponding Poisson risk model when the time-arrivals are exponentially distributed.

引用

页码：1147 / 1151

页数：5

共 17 条

[1]

Asmussen S., 2000, Ruin Probabilities

[2] Discrete time risk models under rates of interest [J].

Cai, J .

PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2002, 16 (03) :309-324

[3] ESTIMATES FOR THE PROBABILITY OF RUIN WITH SPECIAL EMPHASIS ON THE POSSIBILITY OF LARGE CLAIMS [J].

EMBRECHTS, P ;

VERAVERBEKE, N .

INSURANCE MATHEMATICS & ECONOMICS, 1982, 1 (01) :55-72

[4]

Embrechts P., 2008, Modelling Extremal Events

[5]

Fima C.K., 1998, INTRO STOCHASTIC CAL

[6]

Karatzas I., 1998, Graduate Texts in Mathematics, V113, DOI [DOI 10.1007/978-1-4684-0302-2, 10.1007/978-1-4684-0302-2]

[7]

Kluppelberg C., 1998, SCANDINAVIAN ACTUARI, V1, P49

[8] Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails [J].

Konstantinides, D ;

Tang, QH ;

Tsitsiashvili, G .

INSURANCE MATHEMATICS & ECONOMICS, 2002, 31 (03) :447-460

[9]

Resnick S.I., 1991, COMM STAT STOCHASTIC, V7, P511

[10]

Ross S. M., 1983, STOCHASTIC PROCESSES

← 1 2 →