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A local asymptotic behavior for ruin probability in the renewal risk model

✍ Scribed by Ruixing Ming; Diarra Modibo; Yijun Hu

Book ID
107531064
Publisher
Wuhan University
Year
2007
Tongue
English
Weight
338 KB
Volume
12
Category
Article
ISSN
1007-1202

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πŸ“œ SIMILAR VOLUMES

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## Abstract In this paper we study the tail behaviour of the probability of ruin within finite time __t__, as initial risk reserve __x__ tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for __t__∈[__f__(__x__), ∞), where

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In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty