Ruin under interest force and subexponential claims: a simple treatment

被引：52

作者：

Kalashnikov, V

Konstantinides, D

机构：

[1] Univ Copenhagen, Lab Actuarial Math, DK-2100 Copenhagen, Denmark

[2] Univ Aegean, Dept Math, Samos 83200, Greece

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 27卷 / 01期

基金：

俄罗斯基础研究基金会;

关键词：

ruin probability; risk model; subexponential distribution; interest force;

D O I：

10.1016/S0167-6687(00)00045-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A simple proof of the asymptotic formula for the ruin probability of a risk process with a positive constant interest force [derived earlier by Asmussen (Asmussen, S., 1998. The Annals of Applied Probability 8, 354-374)] is given. The proof is based on a formula obtained by Sundt and Teugels (Sundt, B., Teugels, J.L., 1995. Insurance: Mathematics and Economics 16, 7-22). (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：145 / 149

页数：5