A Note on the Ruin Probability in the Delayed Renewal Risk Model
نویسندگان
چکیده
Veraverbeke (1977, Stochastic Processes Appl. 5, no. 1, 27–37) and Embrechts and Veraverbeke (1982, Insurance Math. Econom. 1, no. 1, 55–72) obtained a simple asymptotic relation for the ruin probability in the renewal risk model under the assumption that the claim size is heavy tailed. This note points out that the relation still holds in the delayed renewal risk model.
منابع مشابه
Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model
Embrechts and Veraverbeke investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities ψ(x) under the assumption that the claim size is heavy-tailed, which is regarded as a classical result in the context of extremal value theory. In this note we extend this result to the delayed renewal risk model.
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تاریخ انتشار 2004