Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
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Publication:5430548
DOI10.1080/03461230510006982zbMath1144.91030OpenAlexW2153472051MaRDI QIDQ5430548
Publication date: 16 December 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://spectrum.library.concordia.ca/6657/1/9_04_Tang.pdf
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)
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Cites Work
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
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- Ruin under interest force and subexponential claims: a simple treatment.
- Ruin estimates under interest force
- Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve
- Moving averages with random coefficients and random coefficient autoregressive models
- Ruin probabilities in the presence of heavy-tails and interest rates
- The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
- Probability of ruin with variable premium rate in a Markovian environment
