Title :
Asymptotics of Discounted Aggregate Claims for Renewal Model with Risky Investment
Author_Institution :
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
Abstract :
Under the assumption that the claimsize is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic formula of discounted aggregate claims for renewal risk model within finite horizon is obtained. The main results we derived extend the corresponding conclusion of related references.
Keywords :
insurance; investment; discounted aggregate claims; finite horizon; insurance surplus; renewal model; risky investment; subexponentially distributed claimsize; Aggregates; Distribution functions; Equations; Exponential distribution; Finance; Insurance; Investments; Motion analysis; Random variables; Stochastic processes;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301311
