Asymptotic behaviour of the finite‐time ruin probability in renewal risk models | Zendy

Leipus Remigijus | Zendy; Šiaulys Jonas | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Premium

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

Author(s) -

Leipus Remigijus,

Šiaulys Jonas

Publication year - 2008

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.747

Subject(s) - infinity , mathematics , risk model , ruin theory , class (philosophy) , mathematical economics , first hitting time model , combinatorics , statistics , mathematical analysis , computer science , artificial intelligence

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 f ( x ) is an infinitely increasing function, and substantially extends the result of Tang ( Stoch. Models 2004; 20 :281–297) obtained for the class of claim distributions with consistently varying tails. Two examples illustrate the result. Copyright © 2008 John Wiley & Sons, Ltd.

This content is not available in your region!

Continue researching here.

Having issues? You can contact us here

Accelerating Research