✦ LIBER ✦

Asymptotic behaviour of the finite-time ruin probability in renewal risk models

✍ Scribed by Remigijus Leipus; Jonas Šiaulys

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 125 KB
Volume: 25
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.747

No coin nor oath required. For personal study only.

✦ Synopsis

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 f(x) is an infinitely increasing function, and substantially extends the result of Tang (Stoch. Models 2004; 20:281–297) obtained for the class of claim distributions with consistently varying tails. Two examples illustrate the result. Copyright © 2008 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

Asymptotics for the ruin probabilities o

Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 2 views

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