Infinite time ruin probability in inhomogeneous claims case
نویسندگان
چکیده
منابع مشابه
Lower Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Subexponential Claims
For the renewal risk model with subexponential claim sizes, we establish for the finite time ruin probability a lower asymptotic estimate as initial surplus increases, subject to the demand that it should hold uniformly over all time horizons in an infinite interval. This extends a recent work partly on the topic from the case of Pareto-type claim sizes to the case of subexponential claim sizes...
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In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is large. The result is consistent with known results for the ultimate and finitetime ruin probability and, particularly, is inconsistent with the corresponding Poisson risk ...
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Consider a two-dimensional delayed renewal risk model with a constant interest rate, where the claim sizes of the two classes form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavytailed claim sizes, some asymptotic formulas are derived for the finite-time and infinite-time ruin probabilities.
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In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time d > 0. We identify expressions for the ruin probabilities within finite and infinite-time horizon. We also find their light and heavy-tailed asymptotics when initial reserves approach infinity. Finally, we calculate these p...
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ژورنال
عنوان ژورنال: Lietuvos matematikos rinkinys
سال: 2010
ISSN: 2335-898X,0132-2818
DOI: 10.15388/lmr.2010.64