The asymptotic estimates of absolute ruin probabilities in a renewal risk model with constant force of interest

MaRDI QIDQ2860077zbMATH OpenFDO

Authors Jingjing Wang, Dongjin Zhu, Wenying Qian

Publication date 19 November 2013

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

asymptotic estimaterenewal risk modelabsolute ruin probabilityconstant force of interest

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

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Cited in

(3)

• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation

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