FINITE-HORIZON RUIN PROBABILITY ASYMPTOTICS IN THE COMPOUND DISCRETE-TIME RISK MODEL

被引：6

作者：

Leipus, Remigijus ^{[1
,2
]}

Siaulys, Jonas ^{[1
,2
]}

机构：

[1] Vilnius State Univ, Fac Math & Informat, LT-03225 Vilnius, Lithuania

[2] Vilnius State Univ, Inst Math & Informat, LT-08663 Vilnius, Lithuania

来源：

LITHUANIAN MATHEMATICAL JOURNAL | 2011年 / 51卷 / 02期

关键词：

ruin probability; finite-horizon ruin probability; compound discrete-time risk model; RANDOM SUMS; BEHAVIOR;

D O I：

10.1007/s10986-011-9120-x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we consider the compound discrete-time risk model which is a modification of the classical discrete-time (compound binomial) risk model. In this model, the claims in each fixed subsequent time interval arrive independently, and their number is random. We find the asymptotics of finite-horizon ruin probability in such a model for a subclass of heavy-tailed claim sizes and claim numbers.

引用

页码：207 / 219

页数：13

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