ESTIMATES FOR THE ABSOLUTE RUIN PROBABILITY IN THE COMPOUND POISSON RISK MODEL WITH CREDIT AND DEBIT INTEREST

被引：18

作者：

Zhu, Jinxia ^{[1
]}

Yang, Hailiang ^{[1
]}

机构：

[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

来源：

JOURNAL OF APPLIED PROBABILITY | 2008年 / 45卷 / 03期

关键词：

Absolute ruin probability; credit and debit interest rates; compound Poisson model; heavy-tailed and light-tailed distributions; asymptotic results;

D O I：

10.1239/jap/1222441831

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider a compound Poisson risk model where the insurer earns credit interest at a constant rate if the surplus is positive and pays out debit interest at another constant rate if the surplus is negative. Absolute ruin occurs at the moment when the surplus first drops below a critical value (a negative constant). We study the asymptotic properties of the absolute ruin probability of this model. First we investigate the asymptotic behavior of the absolute ruin probability when the claim size distribution is light tailed. Then we study the case where the common distribution of claim sizes are heavy tailed.

引用

页码：818 / 830

页数：13

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