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
收藏
页码：1147 / 1151
页数：5
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