Extension of some classical results on ruin probability to delayed renewal model (Q1566065)
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scientific article; zbMATH DE number 1921206
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extension of some classical results on ruin probability to delayed renewal model |
scientific article; zbMATH DE number 1921206 |
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Extension of some classical results on ruin probability to delayed renewal model (English)
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27 February 2004
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The authors give the asymptotic estimate of the ruin probability for dominatedly varying claim size distributions in the delayed renewal risk model. The result extends the corresponding result of \textit{P. Embrechts} and \textit{N. Veraverbeke} [Insur. Math. Econ. 1, 55-72 (1982; Zbl 0518.62083)] for the renewal risk model.
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delayed renewal risk model
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heavy-tails
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ruin probability
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