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The Finite Time Ruin Probability of the Compound Poisson Model with Constant Interest Force

Title:

The Finite Time Ruin Probability of the Compound Poisson Model with Constant Interest Force

Tang, Qihe (2005) The Finite Time Ruin Probability of the Compound Poisson Model with Constant Interest Force. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Abstract

In this paper we establish a simple asymptotic formula with respect to large initial surplus for thefinite time ruin probability of the compound Poisson model with constant interest force and subexponential claims. The formula is consistent with known results for the ultimate ruin probability and, in particular, it is uniform for all
time horizons when the claim size distribution is regularly varying tailed.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Monograph (Technical Report)
Authors:Tang, Qihe
Series Name:Department of Mathematics & Statistics. Technical Report No. 2/05
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:June 2005
Keywords:Asymptotics, finite time ruin probability, Poisson process, regular variation, subexponentiality, uniform convergence
ID Code:6666
Deposited By:DIANE MICHAUD
Deposited On:02 Jun 2010 12:34
Last Modified:08 Dec 2010 18:23
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