The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

DOI10.1080/03461230310017531zbMath1142.62094OpenAlexW2120596432MaRDI QIDQ5430578

Qi-he Tang

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230310017531

zbMATH Keywords

asymptotic behavioursubexponentialityrecursive equationMatusevska index

Mathematics Subject Classification ID

Related Items (26)

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Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Convolution tails, product tails and domains of attraction
• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Subexponentiality of the product of independent random variables
• The adjustment function in ruin estimates under interest force
• 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.
• On the ruin probabilities in a general economic environment
• Power tailed ruin probabilities in the presence of risky investments.
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Ruin estimates under interest force
• Ruin probabilities with dependent rates of interest
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• Maxima of Sums of Heavy-Tailed Random Variables

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