- Author
-
Q. Tang
- Year
- 2004
- Title
- Asymptotics for the finite time ruin probability in the renewal model with consistant variation
- Journal
- Stochastic Models
- Volume | Issue number
- 20 | 3
- Pages (from-to)
- 281-297
- Number of pages
- 17
- Document type
- Article
- Faculty
- Faculty of Economics and Business (FEB)
- Institute
- Amsterdam School of Economics Research Institute (ASE-RI)
- Abstract
-
This paper investigates the finite time ruin probability in the renewal risk model. Under some mild assumptions on the tail probabilities of the claim size and of the inter-occurrence time, a simple asymptotic relation is established as the initial surplus increases. In particular, this asymptotic relation is requested to hold uniformly for the horizon varying in a relevant infinite interval. The uniformity allows us to consider that the horizon flexibly varies as a function of the initial surplus, or to change the horizon into any nonnegative random variable as long as it is independent of the risk system.
- URL
- go to publisher's site
- Language
- Undefined/Unknown
- Persistent Identifier
- https://hdl.handle.net/11245/1.238704
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