Research Article
Asymptotic Behavior of Ruin Probability in Insurance Risk Model with Large Claims
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@INPROCEEDINGS{10.1007/978-3-642-02466-5_103, author={Tao Jiang}, title={Asymptotic Behavior of Ruin Probability in Insurance Risk Model with Large Claims}, proceedings={Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009. Revised Papers, Part 1}, proceedings_a={COMPLEX PART 1}, year={2012}, month={5}, keywords={asymptotic formula finite time ruin probability strongly subexponential distributions the compound Poisson/renewal model uniform convergence}, doi={10.1007/978-3-642-02466-5_103} }- Tao Jiang
Year: 2012
Asymptotic Behavior of Ruin Probability in Insurance Risk Model with Large Claims
COMPLEX PART 1
Springer
DOI: 10.1007/978-3-642-02466-5_103
Abstract
For the renewal risk model with subexponential claim sizes, we established for the finite time ruin probability a lower asymptotic estimate as initial surplus increases, subject to the demand that it should hold uniformly over all time horizons in an infinite interval. In the case of Poisson model, we also obtained the upper asymptotic formula so that an equivalent formula was derived. These extended a recent work partly on the topic from the case of Pareto-type claim sizes to the case of subexponential claim sizes and, simplified the proof of lower bound in Leipus and Siaulys ([9]).
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