Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
type: Item
instance of: scholarly article
title: Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
zbMATH Open document ID: 1074.91029
DOI: 10.1016/S0167-6687(02)00189-0
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
review text: The paper studies the ruin probability in the classical risk model with homogeneous Poisson arrival process, constant premium rate and constant interest force. The case where the claim size is heavy-tailed, i.e. the equilibrium distribution function of the claim size belongs to a subclass of subexponential distributions, is considered. Accurate two-sided estimates for the ruin probability are obtained by reduction from the classical model without interest force. Some examples and numerical results are presented.
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2004064
zbMATH Keywords: classical risk model
zbMATH Keywords: constant interest force
zbMATH Keywords: ruin probability
zbMATH Keywords: subexponential distribution
author: Dimitrios G. Konstantinides
author: Qihe Tang
author: G. Sh. Tsitsiashvili
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 2004064