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Finite and Infinite Time Ruin Probabilities in the Presence of Stochastic Returns on Investments


Finite and Infinite Time Ruin Probabilities in the Presence of Stochastic Returns on Investments

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.

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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
Institution:Concordia University
Date:December 2004
Keywords:Asymptotics; class S(√); endpoint; extended regular variation; financial risk; insurance risk; rapid variation; ruin probability
ID Code:6664
Deposited On:02 Jun 2010 16:29
Last Modified:18 Jan 2018 17:29


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