TY - JOUR

T1 - The asymptotic estimate of ruin probability under a class of risk model in the presence of heavy tails

AU - Wei, Jiaqin

AU - Wang, Rongming

AU - Yao, Dingjun

PY - 2008/9

Y1 - 2008/9

N2 - 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.

AB - 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.

KW - Constant interest force

KW - Ruin probability

KW - Stochastic premium

KW - Subexponential distribution

UR - http://www.scopus.com/inward/record.url?scp=46149111935&partnerID=8YFLogxK

U2 - 10.1080/03610920801902185

DO - 10.1080/03610920801902185

M3 - Article

AN - SCOPUS:46149111935

VL - 37

SP - 2331

EP - 2341

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

SN - 0361-0926

IS - 15

ER -