The Ruin Probability of the Renewal Model with Constant Interest Force and Upper-tailed Independent Heavy-tailed Claims

被引：0

作者：

Xin Mei SHEN Zheng Yan LIN~1) Department of Mathematics

机构：

来源：

Acta Mathematica Sinica,English Series | 2010年 / 26卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Asymptotic estimate; consistent variation; renewal process; upper-tail independent;

D O I：

暂无

中图分类号：

O211.5 [随机变量];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we obtain the uniform estimate for discounted aggregate claims in thecontinuous-time renewal model of upper-tailed independent and heavy-tailed random variables. Withconstant interest force and constant premium rate, we establish a uniform simple asymptotic formulafor ruin probability of the renewal model in the case where the initial surplus is large.

引用

页码：1815 / 1826

页数：12

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