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Finite-horizon ruin probability asymptotics in the compound discrete-time risk model

✍ Scribed by Remigijus Leipus; Jonas Šiaulys

Publisher
Springer
Year
2011
Tongue
English
Weight
181 KB
Volume
51
Category
Article
ISSN
0363-1672

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📜 SIMILAR VOLUMES

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

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✍ Philippe Picard; Claude Lefèvre 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 544 KB

Firstly exact simple expressions are given for the moments Mr = Eo(Trl{T<~}) when the initial reserves are equal to zero. Then for positive initial reserves the same moments are expressed very compactly through the Mr's, and the polynomials e,~(O = eXtP(St = n), n = 0, 1 .... In both cases the resul