✦ LIBER ✦

Asymptotics in a time-dependent renewal risk model with stochastic return

✍ Scribed by Jinzhu Li

Book ID: 113721646
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 225 KB
Volume: 387
Category: Article
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2011.10.012

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Asymptotics and uniform asymptotics for

Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

✍ Yang Yang; Kaiyong Wang; Jie Liu 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 250 KB

Asymptotics of discounted aggregate clai

Asymptotics of discounted aggregate claims for renewal risk model with risky investment

✍ Tao Jiang 📂 Article 📅 2010 🏛 SP Editorial Committee of Applied Mathematics - A 🌐 English ⚖ 147 KB

Asymptotic behaviour of the finite-time

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

✍ Remigijus Leipus; Jonas Šiaulys 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 125 KB 👁 2 views

## 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

Second order asymptotics for ruin probab

Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims

✍ Jianxi Lin 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 261 KB

Uniform asymptotic estimates for ruin pr

Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

✍ Fenglong Guo; Dingcheng Wang 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 196 KB

The expected discounted penalty function

The expected discounted penalty function under a renewal risk model with stochastic income

✍ Yongxia Zhao; Chuancun Yin 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 270 KB