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Finite-time Ruin Probability of Renewal Model with Risky Investment and Subexponential Claims.
- Source :
-
World Congress on Engineering 2009 (Volume 2) . 2009, p1147-1151. 5p. - Publication Year :
- 2009
-
Abstract
- 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 finite-time ruin probability and, particularly, is inconsistent with the corresponding Poisson risk model when the time-arrivals are exponentially distributed. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISBNs :
- 9789881821010
- Database :
- Academic Search Index
- Journal :
- World Congress on Engineering 2009 (Volume 2)
- Publication Type :
- Book
- Accession number :
- 50994980