Tang, Qihe and Tsitsiashvili, Gurami (2004) Finite and Infinite Time Ruin Probabilities in the Presence of Stochastic Returns on Investments. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Abstract
This paper investigates the finite and infinite time ruin probabilities in a discrete time stochastic economic environment. Under the assumption that the insurance risk
 the total net loss within one time period  is extendedregularlyvarying or rapidly varying tailed, various precise estimates for the ruin probabilities are derived. In
particular, some estimates obtained are uniform with respect to the time horizon, hence apply for the case of infinite time ruin.
Divisions:  Concordia University > Faculty of Arts and Science > Mathematics and Statistics 

Item Type:  Monograph (Technical Report) 
Authors:  Tang, Qihe and Tsitsiashvili, Gurami 
Series Name:  Department of Mathematics & Statistics. Technical Report No. 14/04 
Corporate Authors:  Concordia University. Department of Mathematics & Statistics 
Institution:  Concordia University 
Date:  December 2004 
Keywords:  Asymptotics; class S(√); endpoint; extended regular variation; financial risk; insurance risk; rapid variation; ruin probability 
ID Code:  6664 
Deposited By:  DIANE MICHAUD 
Deposited On:  02 Jun 2010 16:29 
Last Modified:  04 Nov 2016 22:58 
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