Finite-time Ruin Probability of Renewal Model with Risky Investment and Subexponential Claims
نویسنده
چکیده
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 model when the time-arrivals are exponentially distributed.
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