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.
- Published Version
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 extended-regularly-varying 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|
|Keywords:||Asymptotics; class S(√); endpoint; extended regular variation; financial risk; insurance risk; rapid variation; ruin probability|
|Deposited By:||DIANE MICHAUD|
|Deposited On:||02 Jun 2010 16:29|
|Last Modified:||08 Dec 2010 23:24|
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