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.
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页码：207 / 219
页数：12
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