The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims (Q606341): Difference between revisions

From MaRDI portal
ReferenceBot (talk | contribs)
Changed an Item
Normalize DOI.
Property / DOI
 
Property / DOI: 10.1007/s10114-010-7574-0 / rank
Normal rank
 
Property / DOI
 
Property / DOI: 10.1007/S10114-010-7574-0 / rank
 
Normal rank

Revision as of 04:44, 9 December 2024

scientific article
Language Label Description Also known as
English
The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
scientific article

    Statements

    The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims (English)
    0 references
    0 references
    0 references
    17 November 2010
    0 references
    The paper provides a simple formula for the probability of ruin under a special case of the Sparre Andersen risk model where, in addition, interest is earned at a constant force of interest. More precisely, claims are assumed to arrive at random times, which are independent and identically distributed. The sizes of the claims are identically distributed nonnegative random variables that are independent from the interclaim times. It is also assumed that claim sizes follow some heavy-tailed distribution and the dependence between any two claim sizes follows some pre-specified structure. The article's main focus is on the tail distribution of the aggregate claims and on asymptotic properties of the finite-time ruin probability. The explicit expressions that are derived are simple and applicable in any situation where the claim-size distribution is known. As a whole, the paper is clearly written and provides detailed proofs. It relies somewhat on the previous literature on the subject for motivating the research and discussing its outcome. Despite these slight shortcomings, the paper is a pleasant and smooth reading.
    0 references
    asymptotic estimate
    0 references
    consistent variation
    0 references
    renewal process
    0 references
    upper-tail independent
    0 references
    finite-time ruin probability
    0 references

    Identifiers