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Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk

✍ Scribed by Malinovskii, Vsevolod K.


Book ID
122197673
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
491 KB
Volume
55
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