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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Abstract
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 By: | DIANE MICHAUD |
| Deposited On: | 02 Jun 2010 16:18 |
| Last Modified: | 18 Jan 2018 17:29 |
References:
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