The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks

被引：0

作者：

Yi-qing Chen

机构：

来源：

Acta Mathematicae Applicatae Sinica | 2005年 / 01期

关键词：

asymptotics; heavy tails; finite time ruin probability;

D O I：

暂无

中图分类号：

F224.7 [概率论与数理统计在经济中的应用];

学科分类号：

020208 ; 020209 ; 0714 ;

摘要：

This note complements a recent study in ruin theory with risky investment by establishing the same asymptotic estimate for the finite time ruin probability under a weaker restriction on the financial risks. In particular, our result applies to a critical case that the insurance and financial risks have Pareto-type tails with the same regular index.

引用

页码：153 / 156

页数：4

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