Finite- and Infinite-time Ruin Probabilities in the Presence of Stochastic Returns on Investments
نویسنده
چکیده
This paper investigates the finiteand infinite-time ruin probabilities in a discrete-time stochastic economic environment. Under the assumption that the insurance risk – the total net loss within one time period – is extended-regularly-varying tailed or rapidly-varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform with respect to the time horizon, and so apply in the case of infinite-time ruin.
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