Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

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DOI10.1016/j.spa.2003.07.001zbMath1075.91563OpenAlexW2086005600MaRDI QIDQ2574612

Qi-he Tang, G. Sh. Tsitsiashvili

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2003.07.001

zbMATH Keywords

asymptotics ruin probability moment index subexponentiality dominated variation Matuszewska indices

Mathematics Subject Classification ID

Special processes (60K99)

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