Finite Time Ruin Probability in Non-standard Risk Model with Risky Investments

Tao Jiang

Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2

Research Article

Finite Time Ruin Probability in Non-standard Risk Model with Risky Investments

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@INPROCEEDINGS{10.1007/978-3-642-02469-6_55,
    author={Tao Jiang},
    title={Finite Time Ruin Probability in Non-standard Risk Model with Risky Investments},
    proceedings={Complex Sciences. First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009, Revised Papers, Part 2},
    proceedings_a={COMPLEX PART 2},
    year={2012},
    month={5},
    keywords={ruin probability conditional Poisson process renewal risk model non-homogeneous Poisson process subexponential class regularly varying tail},
    doi={10.1007/978-3-642-02469-6_55}
}

Tao Jiang
Year: 2012
Finite Time Ruin Probability in Non-standard Risk Model with Risky Investments
COMPLEX PART 2
Springer
DOI: 10.1007/978-3-642-02469-6_55

Tao Jiang¹^,*

1: Zhejiang Gongshang University

*Contact email: jtao@263.net

Abstract

In this paper, under the assumption that the claimsize is subexponentially distributed and the insurance capital is totally invested in risky asset, some simple asymptotics of finite horizon ruin probabilities are obtained for non-homogeneous Poisson process and conditional Poisson risk models as well as renewal risk model, when the initial capital is quite large. Extremal event is described in this case because some claim can be larger than initial capital even it is large enough. The results obtained extended the corresponding results of related papers in this area.

Keywords: ruin probability conditional Poisson process renewal risk model non-homogeneous Poisson process subexponential class regularly varying tail

Published: 2012-05-11

: http://dx.doi.org/10.1007/978-3-642-02469-6_55