The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails

DOI10.1080/03610920801902185zbMath1153.60338OpenAlexW2110662827MaRDI QIDQ3526086

Jiaqin Wei, Rong-Ming Wang, Ding Jun Yao

Publication date: 24 September 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920801902185

zbMATH Keywords

ruin probabilitysubexponential distributionconstant interest forcestochastic premium

Mathematics Subject Classification ID

Related Items (1)

Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force

Cites Work

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• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Risk process with random income
• Ruin estimates under interest force
• On the distribution of surplus immediately after ruin under interest force and subexponential claims

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