Premium
Tail equivalence relationships for ruin probabilities in several risk models
Author(s) -
Hu Feng,
Yin Chuancun,
Zong Zhaojun
Publication year - 2005
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.601
Subject(s) - ruin theory , equivalence (formal languages) , risk model , mathematics , mathematical economics , econometrics , economics , statistics , discrete mathematics
This paper is a further investigation into the ruin probability ψ ( x ) in several risk models, where x is the initial surplus. Under the assumption that the claim sizes are heavy‐tailed, we get some tail equivalence relationships of ψ ( x ). Copyright © 2005 John Wiley & Sons, Ltd.