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 |
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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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