Title of article :
Ruin under interest force and subexponential claims: a simple treatment
Author/Authors :
Kalashnikov، نويسنده , , Vladimir and Konstantinides، نويسنده , , Dimitrios، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
A simple proof of the asymptotic formula for the ruin probability of a risk process with a positive constant interest force [derived earlier by Asmussen (Asmussen, S., 1998. The Annals of Applied Probability 8, 354–374)] is given. The proof is based on a formula obtained by Sundt and Teugels (Sundt, B., Teugels, J.L., 1995. Insurance: Mathematics and Economics 16, 7–22).
Keywords :
Ruin probability , Risk model , Subexponential distribution , Interest force
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics
