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Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes

✍ Scribed by Remigijus Leipus; Jonas Šiaulys

Book ID
108153100
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
271 KB
Volume
40
Category
Article
ISSN
0167-6687

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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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