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Erlangian approximation to finite time ruin probabilities in perturbed risk models

✍ Scribed by Stanford, David A.; Yu, Kaiqi; Ren, Jiandong

Book ID
121201236
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
274 KB
Volume
2011
Category
Article
ISSN
0346-1238

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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