Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
✍ Scribed by Noël Veraverbeke
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 365 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0167-6687
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📜 SIMILAR VOLUMES
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
## 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
In the compound Poisson risk model, several strong hypotheses may be found too restrictive to describe accurately the evolution of the reserves of an insurance company. This is especially true for a company that faces natural disaster risks like earthquake or flooding. For such risks, claim amounts