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Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Regular Variation


Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Regular Variation

Tang, Qihe (2004) Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Regular Variation. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Klüppelberg and Stadtmüller (1998, Scand. Actuar. J., no. 1, 49{58) obtained a simple asymptotic formula for the ruin probability of the classical model with constant interest force and regularly varying tailed claims. This short note extends their result to the renewal model. The proof is based on a result of Resnick and Willekens (1991, Comm. Statist. Stochastic Models 7, no. 4, 511{525).

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. 9/04
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:November 2004
Keywords:Asymptotics, regular variation, ruin probability, stochastic premiums
ID Code:6657
Deposited On:02 Jun 2010 16:18
Last Modified:18 Jan 2018 17:29


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