A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation

被引：18

作者：

Li, Jinzhu ^{[1
,2
]}

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 127卷

基金：

中国国家自然科学基金;

关键词：

Asymptotics; Brownian perturbation; Renewal risk model; Ruin probability; Subexponential class;

D O I：

10.1016/j.spl.2017.03.028

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 note, we consider a renewal risk model with constant force of interest and Brownian perturbation. Assuming that the claim-size distribution function is from the subexponential class, we derive for the finite-time ruin probability a precise asymptotic expansion, which holds uniformly for any finite time horizon. Our result confirms the intuition that the asymptotic ruin probabilities of risk models with heavy-tailed claims are insensitive to the Brownian perturbation. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：49 / 55

页数：7

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