Finite-time ruin probability with heavy-tailed claims and constant interest rate

D. Wang*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    47 Citations (Scopus)

    Abstract

    At first the paper investigates the asymptotic behavior of the finite-time ruin probability with constant interest rate and subexponentially tailed claim sizes, which extends the result recently established by Tang[14] for the classical risk model to the delayed renewal risk model; then, within the intersection class of the claim sizes with subexponential tails and the claim sizes with dominatedly varying tails, the paper discusses the finite-time ruin probability with claims arriving according to an arbitrary counting process.

    Original languageEnglish
    Pages (from-to)41-57
    Number of pages17
    JournalStochastic Models
    Volume24
    Issue number1
    DOIs
    Publication statusPublished - Jan 2008

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