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.
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页码：153 / 156
页数：4
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