The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

Qihe Tang

52 citations0/0 files storedScandinavian Actuarial Journal

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results.

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References

1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims 1994Subexponentiality of the product of independent random variables 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks 1980On closure and factorization properties of subexponential and related distributions 1977Asymptotic behaviour of Wiener-Hopf factors of a random walk

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2008Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory 2019Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest 2011Ruin problems for a discrete time risk model with non-homogeneous conditions

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