The Finite-Time Ruin Probability of the Compound Poisson Model with Constant Interest Force
In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probabil...
| Veröffentlicht in: | Journal of Applied Probability. - Applied Probability Trust. - 42(2005), 3, Seite 608-619 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2005
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| Zugriff auf das übergeordnete Werk: | Journal of Applied Probability |
| Schlagworte: | Asymptotics Finite-time ruin probability Poisson process Regular variation Subexponentiality Uniform asymptotics Uniform convergence Primary 91B30 Secondary 60G70 |
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