The asymptotic estimate of ruin probability under a class of risk model in the presence of heavy tails

Jiaqin Wei*, Rongming Wang, Dingjun Yao

*Corresponding author for this work

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In contrast with the classical Cramer-Lundberg model where the premium process is a linear function of time, we consider the ruin probability under the risk model where the aggregate premium consists of both a compound Poisson process and a linear process of time. Moreover, a constant interest force is also taken into account in our model. We restrict ourselves to the case where the claim size is heavy-tailed, i.e., the equilibrium distribution function of the claim size belongs to a wide subclass of the subexponential distribution. An asymptotic formula for the ruin probability is obtained by using the similar method of Kalashnikov and Konstantinides (2000). The asymptotic formula we get here is the same as the one in Asmussen (1998), Kluppelberg and Stadtmuller (1998), and Kalashnikov and Konstantinides (2000) which did not consider the stochastic premium.

Original languageEnglish
Pages (from-to)2331-2341
Number of pages11
JournalCommunications in Statistics - Theory and Methods
Volume37
Issue number15
DOIs
Publication statusPublished - Sep 2008

Keywords

  • Constant interest force
  • Ruin probability
  • Stochastic premium
  • Subexponential distribution

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