Finite-horizon ruin probability asymptotics in the compound discrete-time risk model

被引：0

作者：

Remigijus Leipus

Jonas Šiaulys

机构：

[1] Vilnius University,Faculty of Mathematics and Informatics

[2] Vilnius University,Institute of Mathematics and Informatics

来源：

Lithuanian Mathematical Journal | 2011年 / 51卷

关键词：

ruin probability; finite-horizon ruin probability; compound discrete-time risk model; 91B30; 62P05; 62B30;

D O I：

暂无

中图分类号：

学科分类号：

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：12

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