Ruin probability analysis in geometric inhomogeneous claims case
نویسندگان
چکیده
منابع مشابه
analysis of ruin probability for insurance companies using markov chain
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In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is large. The result is consistent with known results for the ultimate and finitetime ruin probability and, particularly, is inconsistent with the corresponding Poisson risk ...
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ژورنال
عنوان ژورنال: Lietuvos matematikos rinkinys
سال: 2011
ISSN: 2335-898X,0132-2818
DOI: 10.15388/lmr.2011.ot01