ASYMPTOTIC ESTIMATES FOR THE PROBABILITY OF RUIN IN A POISSON MODEL WITH DIFFUSION

被引：36

作者：

VERAVERBEKE, N

机构：

[1] Limburgs Universitair Centrum, Diepenbeek

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1993年 / 13卷 / 01期

关键词：

ADJUSTMENT COEFFICIENT; DIFFUSION; PROBABILITY OF RUIN; SUBEXPONENTIAL DISTRIBUTIONS;

D O I：

10.1016/0167-6687(93)90535-W

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the probability of ruin in the extended risk model of Gerber (1970) and Dufresne and Gerber (1991). Their asymptotic estimate is complemented by considering also cases where the conditions for the exponential estimate are not satisfied. It is shown that the probability of ruin then behaves asymptotically like the (integrated) tail of the claimsize distribution.

引用

页码：57 / 62

页数：6

共 7 条

[1] RISK THEORY FOR THE COMPOUND POISSON-PROCESS THAT IS PERTURBED BY DIFFUSION [J].