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Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)R. Leipus, J. Siaulys
PublisherElsevier
ISBN / ASINB000PDTUQW
ISBN-13978B000PDTUQ2
AvailabilityAvailable for download now
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
The paper deals with the Sparre Andersen risk model. We study the tail behaviour of the finite-time ruin probability, @J(x,t), in the case of subexponential claim sizes as initial risk reserve x tends to infinity. The asymptotic formula holds uniformly for t in a corresponding region and reestablishes a formula of Tang [Tang, Q., 2004a. Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Stochastic Models 20, 281-297] obtained for the class of claim distributions having consistent variation.
Description:
The paper deals with the Sparre Andersen risk model. We study the tail behaviour of the finite-time ruin probability, @J(x,t), in the case of subexponential claim sizes as initial risk reserve x tends to infinity. The asymptotic formula holds uniformly for t in a corresponding region and reestablishes a formula of Tang [Tang, Q., 2004a. Asymptotics for the finite time ruin probability in the renewal model with consistent variation. Stochastic Models 20, 281-297] obtained for the class of claim distributions having consistent variation.
