Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

DOI10.1080/15326340701826898zbMath1132.91502OpenAlexW2116829796MaRDI QIDQ5454668

Ding Cheng Wang

Publication date: 31 March 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340701826898

zbMATH Keywords

asymptotic behaviorcounting processfinite-time ruin probabilityconstant interest ratedelayed renewal risk modelsubexponentially tailed claim sizes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)

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