Two-Sided Bounds for Ruin Probability under Constant Interest Force
نویسندگان
چکیده
منابع مشابه
Two - sided Bounds for Ruin Probability under Constant Interest Force
In this paper we investigate the ruin probability in the classical risk model under a positive constant interest force. We restrict ourselves to the case where the claim size is heavy-tailed, i.e. the equilibrium distribution function (e.d.f.) of the claim size belongs to a wide subclass (denoted A) of subexponential distributions. Two-sided estimates for the ruin probability are developed by r...
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ژورنال
عنوان ژورنال: Journal of Mathematical Sciences
سال: 2004
ISSN: 1072-3374
DOI: 10.1023/b:joth.0000036323.99101.24