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
机构：
[1] Zhejiang University,Department of Mathematics
来源：
Acta Mathematica Sinica, English Series | 2010年 / 26卷
关键词：
Asymptotic estimate; consistent variation; renewal process; upper-tail independent; 91B30; 60G55; 60G70;
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摘要：
In this paper, we obtain the uniform estimate for discounted aggregate claims in the continuous-time renewal model of upper-tailed independent and heavy-tailed random variables. With constant interest force and constant premium rate, we establish a uniform simple asymptotic formula for ruin probability of the renewal model in the case where the initial surplus is large.
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页码：1815 / 1826
页数：11
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